PERFORMANCE COMPARISON OF MACHINE AND DEEP LEARNING METHODS IN USD/TRY EXCHANGE RATE FORECASTING

Home Page
About
Submit A Journal
Submit A Conference
Submit Paper/Book
- Submit a Preprint
- Submit a Book
Contact

Akademik Yaklaşımlar Dergisi
Volume:15 Issue:3
PERFORMANCE COMPARISON OF MACHINE AND DEEP LEARNING METHODS IN USD/TRY EXCHANGE RATE FORECASTING

PERFORMANCE COMPARISON OF MACHINE AND DEEP LEARNING METHODS IN USD/TRY EXCHANGE RATE FORECASTING

Pages : 1473-1499

View : 108 | Download : 139

Publication Date : 2024-12-31

Article Type : Research Paper

Abstract :Accurate estimation of exchange rates is very important for economic and financial analysis. Türkiye has been facing serious exchange rate fluctuations, especially recently. At this point, accurate prediction of exchange rates is of great importance for both individual and institutional investors. In this study, 149 months of data between January 2012 and May 2024 were used to estimate the USD/TRY exchange rate. Total Opened USD Deposits, M3 money supply, total imports, total exports, unemployment rate, gold price, CPI, PPI and central bank net dollar reserve were used as input variables in the study. In the study, predictions were made using XGBoost, RandomForest, LightGBM, LSTM and SVR methods. Additionally, the generalizability of the results obtained with five-fold cross-validation was tested. According to the results obtained, the best prediction performance for training, testing and cross-validation data sets was produced by the Random Forest model.
Keywords : Döviz kuru, Derin öğrenme, Makine öğrenmesi, Karar destek, Random forest.

ORIGINAL ARTICLE URL

* There may have been changes in the journal, article,conference, book, preprint etc. informations. Therefore, it would be appropriate to follow the information on the official page of the source. The information here is shared for informational purposes. IAD is not responsible for incorrect or missing information.