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Title: | An application of deep learning for exchange rate forecasting |
Author: | Clavería González, Óscar Monte Moreno, Enric Sorić, Petar Torra Porras, Salvador |
Keywords: | Valor (Economia) Xarxes neuronals convolucionals Previsió econòmica Convolutional neural networks Value Economic forecasting |
Issue Date: | 2022 |
Publisher: | Universitat de Barcelona. Facultat d'Economia i Empresa |
Series/Report no: | [WP E-IR22/01] [WP E-AQR22/01] |
Abstract: | This paper examines the performance of several state-of-the-art deep learning techniques for exchange rate forecasting (deep feedforward network, convolutional network and a long short-term memory). On the one hand, the configuration of the different architectures is clearly detailed, as well as the tuning of the parameters and the regularisation techniques used to avoid overfitting. On the other hand, we design an out-of-sample forecasting experiment and evaluate the accuracy of three different deep neural networks to predict the US/UK foreign exchange rate in the days after the Brexit took effect. Of the three configurations, we obtain the best results with the deep feedforward architecture. When comparing the deep learning networks to time-series models used as a benchmark, the obtained results are highly dependent on the specific topology used in each case. Thus, although the three architectures generate more accurate predictions than the time-series models, the results vary considerably depending on the specific topology. These results hint at the potential of deep learning techniques, but they also highlight the importance of properly configuring, implementing and selecting the different topologies. |
Note: | Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2022/202201.pdf |
It is part of: | IREA – Working Papers, 2022, IR22/01 AQR – Working Papers, 2022, AQR22/01 |
URI: | http://hdl.handle.net/2445/182601 |
Appears in Collections: | AQR (Grup d’Anàlisi Quantitativa Regional) – Working Papers Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA)) |
Files in This Item:
File | Description | Size | Format | |
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IR22_001_Claveria et al.pdf | 1.86 MB | Adobe PDF | View/Open |
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