scholarly journals Forecasting INR Exchange Rate Against USD, GBP, JPY, SGD, EUR, AED Using Machine Learning

Author(s):  
Sumith Pevekar

The price of a native currency expressed in terms of another currency is known as a foreign exchange rate. In other terms, a foreign exchange rate compares the value of one currency to that of another. The value of standardized currencies varies with demand, supply, and consumer confidence around the world due to which their values fluctuate over time. To forecast the exchange rate of INR, I have developed a machine learning model. The model was trained to estimate six foreign currency exchange rates against the Indian Rupee using historical data. This model uses Random Forest algorithm to train and predict the values. The suggested system’s predicting performance is assessed and contrasted using statistical metrics. According to the findings, the Random Forest algorithm-based model predicts well and achieves an accuracy of 93.61%. KEYWORDS: Regression, Random Forest, Exchange Rate, INR

2019 ◽  
Vol 9 (15) ◽  
pp. 2980 ◽  
Author(s):  
Muhammad Yasir ◽  
Mehr Yahya Durrani ◽  
Sitara Afzal ◽  
Muazzam Maqsood ◽  
Farhan Aadil ◽  
...  

Financial time series analysis is an important research area that can predict various economic indicators such as the foreign currency exchange rate. In this paper, a deep-learning-based model is proposed to forecast the foreign exchange rate. Since the currency market is volatile and susceptible to ongoing social and political events, the proposed model incorporates event sentiments to accurately predict the exchange rate. Moreover, as the currency market is heavily dependent upon highly volatile factors such as gold and crude oil prices, we considered these sensitive factors for exchange rate forecasting. The validity of the model is tested over three currency exchange rates, which are Pak Rupee to US dollar (PKR/USD), British pound sterling to US dollar (GBP/USD), and Hong Kong Dollar to US dollar (HKD/USD). The study also shows the importance of incorporating investor sentiment of local and foreign macro-level events for accurate forecasting of the exchange rate. We processed approximately 5.9 million tweets to extract major events’ sentiment. The results show that this deep-learning-based model is a better predictor of foreign currency exchange rate in comparison with statistical techniques normally employed for prediction. The results present evidence that the exchange rate of all the three countries is more exposed to events happening in the US.


2013 ◽  
Vol 21 (2) ◽  
pp. 223-254
Author(s):  
Taek Ho Kwon

This study examines the foreign currency derivatives trading of KOSDAQ firms and analyses the relations of derivatives trading and foreign exchange rate exposure in the period 2005~2010. The amount of derivatives trading reaches 27.7% of total assets for the trading firms before global financial crisis period (2005~2007). While, the amount decreases to 17.6% of total assets during the crisis period (2008~2010). These amounts are much greater than those of KOSPI firms which are calculated using similar data specification and periods. The variables which are usually adopted as determinants of derivatives trading do not explain the usage of derivatives in the analysis of period 2005~2007. These results suggest that KOSDAQ firms use derivatives not only foreign exchange risk managements but also trading purposes during this period. Test results do not show sufficient evidence that KOSDAQ firms use derivatives trading in an effective manner to manage foreign exchange rate exposure. In sum, test results suggest that to achieve the goal of managing foreign exchange rate exposure firms should estimate their open position in foreign currency properly before conducting foreign currency derivatives trading.


Ekonomia ◽  
2018 ◽  
Vol 24 (1) ◽  
pp. 39-56
Author(s):  
Magdalena Paleczna ◽  
Edyta Rutkowska-Tomaszewska

Rights of the borrower committing denominated or indexed loan in a foreign currency in light of the Anti-spread ActIn 2004–2008 banks offered consumer denominated loan in a foreign currency, which was a competitive position in relation to a PLN credit facility. Banks had not informed about foreign exchange differences, therefore had caused increase in household indebtedness. Banks also had reserved that consumer has to buy currency only from the bank-lender. In 2011 the Anti-spread Act was adopted, which amended banking law and consumer credit law. Creditors were obligated to inform consumer about rules of determining the manners and dates of fixing the currency exchange rate on the basis of which in particular the amount of credit, its tranches and principal and interest instalments are calculated, and the rules of converting into the currency of credit disbursement or repayment. That information and information about the rules of opening and operating the account shall be concluded in a credit contract. Borrower can repay principal and interest instalments and prepay the full or partial amount of the loan directly in that currency.


2021 ◽  
Vol 22 (1) ◽  
Author(s):  
Shuwei Yin ◽  
Xiao Tian ◽  
Jingjing Zhang ◽  
Peisen Sun ◽  
Guanglin Li

Abstract Background Circular RNA (circRNA) is a novel type of RNA with a closed-loop structure. Increasing numbers of circRNAs are being identified in plants and animals, and recent studies have shown that circRNAs play an important role in gene regulation. Therefore, identifying circRNAs from increasing amounts of RNA-seq data is very important. However, traditional circRNA recognition methods have limitations. In recent years, emerging machine learning techniques have provided a good approach for the identification of circRNAs in animals. However, using these features to identify plant circRNAs is infeasible because the characteristics of plant circRNA sequences are different from those of animal circRNAs. For example, plants are extremely rich in splicing signals and transposable elements, and their sequence conservation in rice, for example is far less than that in mammals. To solve these problems and better identify circRNAs in plants, it is urgent to develop circRNA recognition software using machine learning based on the characteristics of plant circRNAs. Results In this study, we built a software program named PCirc using a machine learning method to predict plant circRNAs from RNA-seq data. First, we extracted different features, including open reading frames, numbers of k-mers, and splicing junction sequence coding, from rice circRNA and lncRNA data. Second, we trained a machine learning model by the random forest algorithm with tenfold cross-validation in the training set. Third, we evaluated our classification according to accuracy, precision, and F1 score, and all scores on the model test data were above 0.99. Fourth, we tested our model by other plant tests, and obtained good results, with accuracy scores above 0.8. Finally, we packaged the machine learning model built and the programming script used into a locally run circular RNA prediction software, Pcirc (https://github.com/Lilab-SNNU/Pcirc). Conclusion Based on rice circRNA and lncRNA data, a machine learning model for plant circRNA recognition was constructed in this study using random forest algorithm, and the model can also be applied to plant circRNA recognition such as Arabidopsis thaliana and maize. At the same time, after the completion of model construction, the machine learning model constructed and the programming scripts used in this study are packaged into a localized circRNA prediction software Pcirc, which is convenient for plant circRNA researchers to use.


Author(s):  
Kunal Kunal ◽  
B V Phani

In this research work, macro level analysis has been conducted to assess impact of foreign direct investment (FDI) capital inflow in Indian economy. This study is focused on causality relationship between FDI inflow, stock market performance and foreign exchange rate. This framework is used for policy implications of relationship between three variables. These macro-economic variables are linked with different policies. Causality tests performed on these variables are further used for policy implications. Impact of change in exchange rate on changes in FDI inflow is the least significant followed by impact of changes in FDI inflow on changes in sensitivity index of stock exchange (SENSEX). The third least significant relationship is observed between changes in FDI inflow on change in exchange rate. These relationships are implied to ‘Impossible Trinity’ framework to assess preference for monetary, fiscal and foreign exchange rate policies. It is observed that improving performance of stock market (SENSEX) should be on priority followed by exchange rate. These finding have implications on fiscal policy, monetary policy and exchange rate. The increase in return of stock market and favourable exchange rate will help in increasing FDI inflow in Indian economy. Stock market performance depends on daily transactions by investors and they are regulated only, not controlled. Supply of foreign currency in India is controlled by the Reserve Bank of India (RBI), who assesses the supply conditions of the market and attempts to manage exchange rate in favour of Indian economy. In other words, the exchange rate can be controlled by having control on supply of foreign currency in domestic market. Hence, there is possibility of having fixed exchange rate and target band of exchange rate.


2005 ◽  
Vol 50 (164) ◽  
pp. 63-79
Author(s):  
Vladimir Vuckovic

The subject matter of market microstructure analysis are processes through which investor activities are transferred to quantities and prices. This direction indicates the fact that has been unjustifiably neglected in fundamental theories ? foreign exchange rate results from the interactions between market participants. Spot foreign exchange market can best be described as a decentralised market with a number of dealers. There is no organised physical place (stock exchange) where dealers meet their clients nor is there an electronic system which enables quotations of all dealers in a currency market to be simultaneously shown on the screen. The theory of order flows has resulted from the answer to the essential question of market microstructure: do trading mechanisms affect the price formation process of the trading subject, and how do they affect it. Information is scattered and not available to all subjects in an aggregate form, which is the consequence of a decentralised structure, lack of regulations and nontransparent trading on the foreign exchange market. In such a setting, market participants are incessantly aggregating signals based on scattered information, and no sooner than collective orders for foreign currency sales and purchases are formed do they build into the foreign exchange rate in the process of new information trading. are a good explanation for changes in the foreign exchange rate. Several studies have shown that order flows.


2018 ◽  
Vol 22 (5) ◽  
pp. 27-39
Author(s):  
E.  M. Sandoyan ◽  
M.  A.  Voskanyan ◽  
A.  G.  Galstyan

Usually, it is diffcult for developing countries to choose a currency regulation policy because of institutional inadequacy, including a signifcant level of concentration in commodity markets, and a high degree of dependence of the national market and fnancial system on exogenous factors and a huge external debt. This article is dedicated to the analysis and evaluation of key factors affecting the formation of the Armenian national currency (dram) exchange rate, as well as to the choice of the currency regulation policy in Armenia. The authors carried out a statistical and econometric analysis of the factors of the foreign exchange rate formation, taking into account the specifcs of the transition economy as a whole, as well as the features of the Armenian economy, in particular. The authors have identifed the exogenous and endogenous factors of the foreign exchange rate formation of the dram, depending on the inflow and outflow of foreign currency. Further, the authors specifed the influence of dominant factors on the choice of the currency regulation policy in the country. The authors carried out an econometric analysis of the factors identifed at the frst stage of the study using the VAR model. The results obtained from this model proved the hypothesis of the non-market nature of the dram’s exchange rate formation. The authors concluded that the dram’s exchange rate formation has non-market nature because of signifcant intervention on the currency market by the “monetary authorities”. The key conclusion of this study is the thesis about the need to change the approaches to currency regulation in Armenia in favour of the transition to a free-floating exchange rate policy in order to stimulate sustainable rates of economic growth in the long term.


2014 ◽  
Vol 22 (2) ◽  
pp. 309-329
Author(s):  
Dong-Hoon Shin ◽  
Seonhyeon Kim ◽  
Hojoon Kim ◽  
Daehwi Jung

In this paper, we examine the existence of the psychological barriers in three foreign exchange rate, won/dollar, euro/dollar, yen/dollar, and test that the psychological barriers effect to the implied volatilities of the FX options. For each exchange rate, the existence and spots of the psychological barriers are estimated from roughly 10 years data for each currency rate, and GARCH (1, 1) model was applied to observe the momentum effect about the mean and variance of the conditional returns, and the implied volatility of the FX-options for each currency rate near the psychological barriers. Since this effect is more clearly observed on the implied volatility data, this fact supports that psychological barriers affects to the price of the FX-options.


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