Mesirow Currency’s Mehryar Emambakhsh, Ph.D. presents Local Extrema Predictor (LEAP), a novel strategy for forecasting mean reversion in foreign exchange (FX) markets.
This paper presents the Local Extrema Predictor (LEAP), a novel strategy for forecasting mean reversion (MR) in foreign exchange (FX) markets. LEAP addresses key shortcomings of existing MR methodologies, including dependence on subjective labelling, rigid model structures, limited adaptability to the dynamic nature of FX markets, high-dimensional input spaces and narrow feature selection.
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