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Dergiler / BDDK Bankacılık ve Finansal Piyasalar Dergisi / 2024 / Cilt: 18 Sayı: 2

Makine Öğrenmesi ve Derin Öğrenme Yaklaşımlarının Döviz Kuru Tahmini Konusundaki Tahmin Yeteneği

Predictive Abilities of Machine Learning and Deep Learning Approaches for Exchange Rate Prediction

Furkan Türkoğlu(Bankacılık Düzenleme ve Denetleme Kurumu)
Eda Göçecek(Bankacılık Düzenleme ve Denetleme Kurumu)
Yavuz Yumrukuz(Bankacılık Düzenleme ve Denetleme Kurumu)
Sayfa
186–210
Yayın Tarihi
2024-12-12
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

The results provide valuable insights for analysts and policymakers in developing robust economic forecasting models.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:This study evaluates the efficacy of forecasting models in predicting USD/TRY exchange rate fluctuations.
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Temel Bulgular & Veri:We assess Support Vector Machine (SVM), XGBoost, Long Short-Term Memory (LSTM), and Gated Recurrent Unit (GRU) models with 96 and 21 feature sets.
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Sonuç & Katkı:The results provide valuable insights for analysts and policymakers in developing robust economic forecasting models.
🔬Tür:Modelleme & Sayısal Simülasyon
📍Kapsam:2010 Verileri
⚙️Değişkenler:Exchange rate · Machine learning · Deep learning

Abstract

This study evaluates the efficacy of forecasting models in predicting USD/TRY exchange rate fluctuations. We assess Support Vector Machine (SVM), XGBoost, Long Short-Term Memory (LSTM), and Gated Recurrent Unit (GRU) models with 96 and 21 feature sets. Data from 01.01.2010 to 30.04.2024 were sourced from Bloomberg, CBRT, and BDDK. Findings indicate that LSTM and GRU models outperform traditional models, with GRU showing the highest predictive accuracy. SVM performs poorly with highdimensional data, while XGBoost offers moderate predictive power but lacks in capturing intricate patterns. This study highlights the importance of model and feature selection in financial time series forecasting and underscores the advantages of advanced neural networks. The results provide valuable insights for analysts and policymakers in developing robust economic forecasting models.

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Bu Makaleye Atıf Yap

Türkoğlu, F., Göçecek, E., Yumrukuz, Y. (2024). Makine Öğrenmesi ve Derin Öğrenme Yaklaşımlarının Döviz Kuru Tahmini Konusundaki Tahmin Yeteneği. BDDK Bankacılık ve Finansal Piyasalar Dergisi, Cilt: 18 Sayı: 2, 186–210. https://doi.org/10.46520/bddkdergisi.1600294

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