Shiny Application for COP Forex Prediction Analysis
It is a widely accepted fact among economists that the Colombian Peso exchange rate is tied to the prices of WTI and Brent oil barril, given the country's large oil industry. Analyst and traders follow complicated statistical models in order to judge the volatility of the peso (COP) and play the forex market.
Within my studies, I have tracked the correlation of the Colombian Peso to the international prices of WTI (West Texas) and Brent oil. It is easier to predict the future value of the Colombian Peso (forex symbol COP) with the prices of oil because currency tends to be much more volatile and in the case of Colombia, it is the inflows of oil trading that peg the COP to the US dollar, not the other way around.
The following Shiny application uses Machine Learning to create three different models using features that include
- WTI prices
- Brent prices
- Composite WTI and Brent prices
for creating prediction models using GLM. The training and testing data are accurate up to March 2016. I have used this algorithm for FOREX trading personally to great success, but the one given here is intended for educational purposes only and should not be taken as a firm solution to successful FOREX trade.