Author
Listed:
- Shake Ibna Abir
(Instructor of Mathematics, Department of Mathematics and Statistics, Arkansas State University, Jonesboro, Arkansas, USA)
- Nasrin Chowdhury Pria
(Department of (MSBAN), Master’s of Science in Business Analytics, Trine University)
- S M Shamsil Arefin
(Bachelor of Science in Computer Science, CUNY Brooklyn College, USA)
- Md Sanjit Hossain
(Master of Business Administration, University of the Potomac, Washington DC, USA)
- Shaharina Shoha
(Instructor of Mathematics, Department of Mathematics and Statistics, Arkansas State University, Jonesboro, Arkansas, USA)
- Nigar Sultana
(Department of Finance and Financial Analytics, University of New Haven, West Haven, CT, USA)
- Md Shah Ali Dolon
(Department of Finance and Financial Analytics, University of New Haven, West Haven, CT, USA)
- S M Shamsul Arefeen
(Department of Management Science and Information Systems, University of Massachusetts Boston, Boston, USA)
- Abid Hasan Shimanto
(Department of Management Science and Information Systems, University of Massachusetts Boston, Boston, USA)
- Rafi Muhammad Zakaria
(Department of Management Science and Information Systems, University of Massachusetts Boston, Boston, USA)
- Sarder Abdulla Al Shiam
(Department of Management–Business Analytics, St Francis College, New York, USA)
- Md Anayet Ullah
(College of Graduate and Professional Studies, Trine University, Indiana, USA)
Abstract
In this paper, we explore the use of different machine learning models on predicting currency exchange rates among BRICS economies (Brazil, Russia, India, China and South Africa). With global economic uncertainties rising, forecasting trends of currency becomes more accurate and real time important for policymakers, businesses, and investors. This study utilizes the recent progress in ML algorithms, i.e. Long Short Term Memory (LSTM) networks and the ensemble method of XGBoost, to analyze the history exchange rate data along with macroeconomic projections. These models are then evaluated for their performance against these non-linearities and dynamism in the data and provide a significantly better performance over traditional econometric techniques. The research integrates large scale datasets with real world economic parameters and demonstrates how AI driven forecasting might reduce risks in foreign exchange markets. The results show better accuracy and reliability as compared to other tools, which make BRICS countries’ currency stability better managed by such a tool. The results have both academic and practical implications, highlighting the ways in which intelligent systems can transform economic decision making in emerging markets. Additionally, this work provides educational insight into the nature of machine learning as a transformational tool for financial forecasting. Research on ways to incorporate techniques such as using LSTM networks that do particularly well in capturing temporal dependence in sequential data and XGBoost, a technique that customers' data has proven to outperform on a wide variety of data structure types. We find that exploring how these models find patterns in massive datasets and how they outperform traditional models like ARIMA can be beneficial to educators and students alike. This work also calls attention to the utility of feature selection and hyper parameter tuning to increase the prediction accuracy. This paper bridges the gap between theory and implementation by providing a foundational start point for those who wish to apply ML to real world financial problems.
Suggested Citation
Handle:
RePEc:alk:jefas0:v:6:y:2024:i:6:id:8451
DOI: 10.32996/jefas.2024.6.6.6
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