RMB Exchange Rate Prediction based on EMD-LSTM Model

DOI

10.2991/978-94-6463-506-5_36How to use a DOI?

Keywords

RMB exchange rate; Prediction; EMD-LSTM

Abstract

With the promotion of internationalization and marketization of RMB, it is of great importance and urgency to improve the prediction performance of RMB exchange rate. On the basis of EMD-LSTM model, this paper focus on USD/CNY exchange rate prediction, systematically integrating short-term influencing factors including Crude Oil, Gold, Interest Spread, VIX and EPU. The results showed that Empirical Mode Decomposition (EMD) can greatly improve prediction accuracy. Besides, the integration of EPU and VIX can make the model perform better, indicating that policy uncertainty and market fear sentiment both have obvious influence on USD/CNY fluctuation. These findings can help enrich the researches of exchange rate prediction and have important referencing meaning for related policy-making in China.

Copyright

© 2024 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Cuitong Hu
PY  - 2024
DA  - 2024/09/02
TI  - RMB Exchange Rate Prediction based on EMD-LSTM Model
BT  - Proceedings of the 2024 4th International Conference on Enterprise Management and Economic Development (ICEMED 2024)
PB  - Atlantis Press
SP  - 326
EP  - 336
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-506-5_36
DO  - 10.2991/978-94-6463-506-5_36
ID  - Hu2024
ER  -