Deep Learning for Predictions in Emerging Currency Markets

Svitlana Galeshchuk, Sumitra Mukherjee

2017

Abstract

Accurate prediction of exchange rates is critical for devising robust monetary policies. Machine learning methods such as shallow neural networks have higher predictive accuracy than time series models when trained on input features carefully crafted by domain knowledge experts. This suggests that deep neural networks, with their ability to learn abstract features from raw data, may provide improved predictive accuracy with raw exchange rates as inputs. The preponderance of research focuses on developed currency markets. The paucity of research in emerging currency markets, and the crucial role that stable currencies play in such economies, motivates us to investigate the effectiveness of deep networks for exchange rate prediction in emerging markets. Literature suggests that the Efficient Market Hypothesis, which posits that asset prices reflect all relevant information, may not hold in such markets because of extraneous factors such as political instability and governmental interventions. This motivates our hypothesis that inclusion of carefully chosen macroeconomic factors as input features may improve the predictive accuracy of deep networks in emerging currency markets. This position paper proposes novel input features based on currency clusters and presents our method for investigating the hypothesis using exchange rates from developed as well as emerging currency markets.

Paper Citation

in Harvard Style

Galeshchuk S. and Mukherjee S. (2017). Deep Learning for Predictions in Emerging Currency Markets . In Proceedings of the 9th International Conference on Agents and Artificial Intelligence - Volume 2: ICAART, ISBN 978-989-758-220-2, pages 681-686. DOI: 10.5220/0006250506810686

in Bibtex Style

@conference{icaart17,
author={Svitlana Galeshchuk and Sumitra Mukherjee},
title={Deep Learning for Predictions in Emerging Currency Markets},
booktitle={Proceedings of the 9th International Conference on Agents and Artificial Intelligence - Volume 2: ICAART,},
year={2017},
pages={681-686},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0006250506810686},
isbn={978-989-758-220-2},
}

in EndNote Style

TY - CONF
JO - Proceedings of the 9th International Conference on Agents and Artificial Intelligence - Volume 2: ICAART,
TI - Deep Learning for Predictions in Emerging Currency Markets
SN - 978-989-758-220-2
AU - Galeshchuk S.
AU - Mukherjee S.
PY - 2017
SP - 681
EP - 686
DO - 10.5220/0006250506810686