US Dollar/Turkish Lira Exchange Rate Forecasting Model Based on Deep Learning Methodologies and Time Series Analysis

Yasar H., Kilimci Z. H.

Symmetry-Basel, cilt.12, sa.9, ss.1-18, 2020 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 12 Sayı: 9
  • Basım Tarihi: 2020
  • Doi Numarası: 10.3390/sym12091553
  • Dergi Adı: Symmetry-Basel
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus, Academic Search Premier, Aerospace Database, Communication Abstracts, INSPEC, Metadex, zbMATH, Directory of Open Access Journals, Civil Engineering Abstracts
  • Sayfa Sayıları: ss.1-18
  • Anahtar Kelimeler: deep learning, exchange rate prediction, financial sentiment analysis, hybrid model, word embedding, time series analysis
  • Kocaeli Üniversitesi Adresli: Evet

Özet

Exchange rate forecasting has been an important topic for investors, researchers, and analysts. In this study, financial sentiment analysis (FSA) and time series analysis (TSA) are proposed to form a predicting model for US Dollar/Turkish Lira exchange rate. For this purpose, the proposed hybrid model is constructed in three stages: obtaining and modeling text data for FSA, obtaining and modeling numerical data for TSA, and blending two models like a symmetry. To our knowledge, this is the first study in the literature that uses social media platforms as a source for FSA and blends them with TSA methods. To perform FSA, word embedding methods Word2vec, GloVe, fastText, and deep learning models such as CNN, RNN, LSTM are used. To the best of our knowledge, this study is the first attempt in terms of performing the FSA by using the combinations of deep learning models with word embedding methods for both Turkish and English texts. For TSA, simple exponential smoothing, Holt-Winters, Holt's linear, and ARIMA models are employed. Finally, with the usage of the proposed model, any user who wants to make a US Dollar/Turkish Lira exchange rate forecast will be able to make a more consistent and strong exchange rate forecast.