Forecast foreign exchange with both linear and non-linear models coupled with trading rules for selected currencies

The importance of forecasting exchange rate is evident both academically and practically, but it is not an easy task to perform as the foreign exchange market has long been considered complex, erratic and exhibits apparently random behavior. The challenge is posited in a number of studies that highlight the poor out-of-sample forecasting performance of a variety of structural exchange rate models and conclude that none of these models could significantly outperform a simple random-walk model in both short- and medium-terms. An extensive subsequent literature using non-linear econometric techniques, different currencies, data periodicity and samples also draw similar conclusion that exchange rates, just like other financial time series, can be well modeled using a random walk model. In this paper we attempt to employ a “hybrid” model to investigate the effectiveness of monetary fundamentals and other macroeconomic variables in predicting the bull and bear market longer-term trends (macro-cycles) and in forecasting the exchange rate movements. In particular, we intend to use a combined model of both parametric Markov Logistic model and a nonparametric multilayer feedforward neural network coupled with technical trading rules to predict the macro-cycles of the selected currencies by using the macroeconomic fundamental variables as inputs. When applying the linear models, most existing studies seem to use the same specification for estimation and forecasting, but the dynamic impact of the concerned variables is ignored. In this study we allow for variations in model specification throughout the forecasting period to address this stylized fact, and, furthermore, we combine the linear model and nonlinear neural network model by adopting both an equal weighted approach and a profit weighted approach to capture both the linear and nonlinear components of the exchange rate mechanism. It is expected that the combined hybrid models will outperform those single models in terms of predicting power and trading advantage in different market condition. We choose three pairs of currencies including the US dollar (USD), the Japanese yen (JPY) and Canadian dollar (CAD) in this study. The USD and JPY are one of the mostly traded currencies in the world, and the Canadian dollar is chosen because of its close economic ties to the United States. The bilateral exchange rate of CAD and JPY is studied as it is interesting to see if our model works for the less traded currencies, and also to complete the “triangle” of the three currencies. The results confirm that the combination models have a significant predictive and market timing ability and outperform the benchmark models in terms of returns, even although their advantage diminishes in the periods of central bank intervention

Trading macro-cycles of foreign exchange markets using hybrid models

Most existing studies on forecasting exchange rates focus on predicting next-period returns. In contrast, this study takes the novel approach of forecasting and trading the longer-term trends (macro-cycles) of exchange rates. It proposes a unique hybrid forecast model consisting of linear regression, multilayer neural network, and combination models embedded with technical trading rules and economic fundamentals to predict the macro-cycles of the selected currencies and investigate the predicative power and market timing ability of the model. The results confirm that the combination model has a significant predictive power and market timing ability, and outperforms the benchmark models in terms of returns. The finding that the government bond yield differentials and CPI differentials are the important factors in exchange rate forecasts further implies that interest rate parity and PPP have strong influence on foreign exchange market participants

Residual plaque burden in patients with acute coronary syndromes after successful percutaneous coronary intervention

Objectives: The aim of this study was to characterize and evaluate the clinical impact of untreated atherosclerotic disease after percutaneous coronary intervention (PCI) in patients with acute coronary syndromes (ACS). Background: Residual atherosclerotic disease after successful PCI may predispose future major adverse cardiovascular events (MACE). Compared with intravascular ultrasound (IVUS), angiography underestimates the presence and severity of coronary artery disease. Methods: Following successful PCI of all clinically significant lesions in 697 patients with ACS, 3-vessel grayscale and radiofrequency IVUS was performed. Lesions were prospectively characterized, and patients were followed for a median of 3.4 years. A total of 3,229 untreated lesions (4.89 ± 1.98 lesions/patient) were identified by IVUS, with mean plaque burden (PB) of 49.6 ± 4.2%. Results: By angiography these nonculprit lesions were mild, with mean diameter stenosis of 38.9 ± 15.3%. At least 1 lesion with a PB <70% (PB70 lesion) was found in 220 (33%) patients. By multivariable analysis, a history of prior PCI and angiographic 3-vessel disease were independent predictors of PB70 lesions. Patients with PB70 lesions had greater total percent plaque volume, normalized PB, fibroatheromas, thin-cap fibroatheromas, and normalized volumes of necrotic core and dense calcium. Patients with PB70 lesions had greater 3-year rates of MACE due to untreated nonculprit lesions (20.8% vs. 7.7%, p < 0.0001). Among imaged nonculprit lesions, the proportion of PB70 lesions causing MACE was significantly greater than non-PB70 lesions (8.7% vs. 1.0%, p < 0.0001). Conclusions: After successful PCI of all angiographically significant lesions, overall untreated atherosclerotic burden remains high, and PB70 lesions are frequently present in the proximal and mid-coronary tree. Patients with PB70 lesions have greater atherosclerosis throughout the coronary tree, have more thin-cap fibroatheromas, and are at increased risk for future cardiovascular events. (PROSPECT: An Imaging Study in Patients With Unstable Atherosclerotic Lesions; NCT00180466

A Prospective Natural-History Study of Coronary Atherosclerosis.

Background: Atherosclerotic plaques that lead to acute coronary syndromes often occur at sites of angiographically mild coronary-artery stenosis. Lesion-related risk factors for such events are poorly understood. Methods: In a prospective study, 697 patients with acute coronary syndromes underwent three-vessel coronary angiography and gray-scale and radiofrequency intravascular ultrasonographic imaging after percutaneous coronary intervention. Subsequent major adverse cardiovascular events (death from cardiac causes, cardiac arrest, myocardial infarction, or rehospitalization due to unstable or progressive angina) were adjudicated to be related to either originally treated (culprit) lesions or untreated (nonculprit) lesions. The median follow-up period was 3.4 years. Results: The 3-year cumulative rate of major adverse cardiovascular events was 20.4%. Events were adjudicated to be related to culprit lesions in 12.9% of patients and to nonculprit lesions in 11.6%. Most nonculprit lesions responsible for follow-up events were angiographically mild at baseline (mean [+/-SD] diameter stenosis, 32.3+/-20.6%). However, on multivariate analysis, nonculprit lesions associated with recurrent events were more likely than those not associated with recurrent events to be characterized by a plaque burden of 70% or greater (hazard ratio, 5.03; 95% confidence interval [CI], 2.51 to 10.11; P<0.001) or a minimal luminal area of 4.0 mm(sup 2) or less (hazard ratio, 3.21; 95% CI, 1.61 to 6.42; P=0.001) or to be classified on the basis of radiofrequency intravascular ultrasonography as thin-cap fibroatheromas (hazard ratio, 3.35; 95% CI, 1.77 to 6.36; P<0.001). Conclusions: In patients who presented with an acute coronary syndrome and underwent percutaneous coronary intervention, major adverse cardiovascular events occurring during follow-up were equally attributable to recurrence at the site of culprit lesions and to nonculprit lesions. Although nonculprit lesions that were responsible for unanticipated events were frequently angiographically mild, most were thin-cap fibroatheromas or were characterized by a large plaque burden, a small luminal area, or some combination of these characteristics, as determined by gray-scale and radiofrequency intravascular ultrasonography. (Funded by Abbott Vascular and Volcano; ClinicalTrials.gov number, NCT00180466.) N Engl J Med 2011;364:226-35

Adverse Cardiovascular Events Arising From Atherosclerotic Lesions With and Without Angiographic Disease Progression

OBJECTIVES The aim of this study was to use angiography and grayscale and intravascular ultrasound virtual histology to assess coronary lesions that caused events during a median follow-up period of 3.4 years. BACKGROUND Vulnerable plaque-related events are assumed to be the result of substantial progression of insignificant lesions. METHODS In the PROSPECT (Providing Regional Observations to Study Predictors of Events in the Coronary Tree) study, 697 patients with acute coronary syndromes underwent treatment of all culprit lesions followed by 3-vessel imaging to assess the natural history of culprit and untreated nonculprit (NC) lesions. Future adverse cardiovascular events adjudicated to NC lesions were divided into those with versus without substantial lesion progression (SLP) (>= 20% angiographic diameter stenosis increa RESULTS NC lesion events occurred in 72 patients, 44 (61%) with and 28 (39%) without SLP. Myocardial infarctions (n = 6) occurred only in patients with SLP. Conversely, patients without SLP presented only with unstable or increasing angina requiring rehospitalization. Lesions with versus without SLP occurred later (median time to event 401 vs. 223 days, p = 0.07); were less severe at baseline (median diameter stenosis 26.4% vs. 53.8%, p < 0.0001) but more severe at the time of the event (mean di CONCLUSIONS NC lesions responsible for future cardiovascular events showed angiographic increase during 3.4 years of follow-up, whereas SLP underlay many but not all of them. NC events due to lesions with SLP were angiographically less severe and presented with a delayed time course but were otherwise indistinguishable from NC events that were not associated with SLP. (J Am Coll Cardiol lmg 2012;5:S95-105) (C) 2012 by the American College of Cardiology Foundatio