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| Title: | 基於 LSTM 之外匯預測模型
LSTM Model for Forecasting Exchange Rates |
| Authors: | 黃莉婷
Huang, Li-Ting |
| Contributors: | 林建秀
Ling, Chien-Hsiu
黃莉婷
Huang, Li-Ting |
| Keywords: | 未拋補利率平價
購買力平價
貨幣學派
泰勒法則
長短期記憶模型
Uncovered interest rate parity
Purchasing power parity
Monetary fundamental
Taylor rule
LSTM |
| Date: | 2022 |
| Issue Date: | 2022-07-01 16:10:40 (UTC+8) |
| Abstract: | 本研究探討深度學習 LSTM 模型與線性迴歸 OLS 模型對於新台幣兌美元匯 率走勢預測表現，根據未拋補利率平價模型(UIRP)、購買力平價模型(PPP)、 貨幣模型(MF)以及泰勒模型(Taylor)選擇總體經濟變數，並且將總體經濟變 數區分為 Decouple 與 Couple 型態納入 LSTM 模型與 OLS 模型進行預測，最後 以 R square、Theil 比率作為衡量預測能力標準，除此之外，本研究進一步比較各 模型的方向預測表現與交易策略表現，分別利用方向準確率與夏普比率作為衡量 準則。
實證結果顯示，LSTM 模型在匯率預測能力、方向準確率以及交易策略表現 皆優於 OLS 模型，其中以 Recursive LSTM 模型表現最佳。在總體經濟變數方面， MF 整體表現較 UIRP、PPP 以及 Taylor 差，UIRP、PPP 以及 Taylor 表現依據總 經變數 Couple 型態與 Decouple 型態而有些微不同，Couple 型態下 3 種經濟變數 整體表現不相上下，而 Decouple 型態下 UIRP 整體表現優於其他 3 種經濟變數 組合。
This paper explores the performance of deep learning LSTM model and linear regression OLS model for the prediction of the exchange rate between NT dollars and US dollars. I select the economic variables according to the uncovered interest rate parity model, the purchasing power parity model (PPP), the currency fundamental model (MF) and the Taylor rule model (Taylor), and divide all economic variables into Decouple and Couple types for prediction. R square and Theil ratio are used as the standard to measure the prediction ability. In addition, this paper also compares the hedging performance and economic benefit of the model which are measured by the hedging accuracy rate and the Sharpe ratio, respectively.
The results show that the LSTM model outperforms the OLS model in exchange rate prediction ability, hedging accuracy and economic benefit. The Recursive LSTM model performs the best. In the economic variables, the overall performance of MF is worse than that of UIRP, PPP and Taylor model. The performance of UIRP, PPP and Taylor is different according to the Couple type and Decouple type. The UIRP, PPP and Taylor model under the Couple type get similar performance. The comprehensive performance of UIRP under the Decouple type is better than that of the other three economic variable combinations. |
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| Description: | 碩士
國立政治大學
金融學系
109352024 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0109352024 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202200676 |
| Appears in Collections: | [金融學系] 學位論文
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