| Popis: |
This study wants to explore the hypothesis that the relevant information in the news, the posts in forums and discussions on the social media can really affect the daily movement of exchange rates. For such study objective, we set up an experiment, where the text mining technique is first applied to the news, the forum and the social media to generate numerical representations regarding the textual information relevant with the exchange rate. Then the machine learning technique is applied to learn the relationship between the derived numerical representations and the movement of exchange rates. At the end, we justify the hypothesis through examining the effectiveness of the obtained relationship. In this paper, we propose a hybrid neural networks to learn and forecast the daily movements of USD/TWD exchange rates. Different from other studies, which focus on news or social media, we integrate them and add the discussion of forum as input data. Different data combinations yield many views while different combination of three data sources might affect the forecasting accuracy rate in different ways. As a result of this method, the experiment result was better than random walk model. |
