Title Page
Abstract
Contents
Chapter 1. Introduction 12
Chapter 2. Data 16
Chapter 3. Prevent Overfitting 18
3.1. Data Scaling 18
3.2. Recurrent Dropout 19
3.3. Early Stopping and Model Checkpoint 20
3.3.1. Early Stopping 21
3.3.2. Model Checkpoint 21
Chapter 4. Model Evaluation Mechanism 23
4.1. RMSE 23
4.2. MAE 24
4.3. MAPE 24
Chapter 5. Model 25
5.1. Driftless Random Walk 25
5.2. Bayesian VAR 25
5.3. LSTM 27
5.3.1. Cell State 28
5.3.2. Forget Gate 29
5.3.3. Input Gate 29
5.3.4. Cell state update 30
5.3.5. Output Gate 31
5.4. GRU 32
5.5. Convolutional Layer 33
5.6. Temporal Fusion Transformer 34
5.6.1. Gating Mechanisms 36
5.6.2. Variable selection Networks 37
5.6.3. Interpretable Multi-Head Attention 38
Chapter 6. Results 40
6.1. Euro to US Dollar 40
6.2. US Dollar to Japanese Yen 42
6.3. Pound Sterling to US Dollar 43
6.4. Australian Dollar to US Dollar 45
6.5. US Dollar to Canadian Dollar 46
Chapter 7. Conclusion 48
References 51
국문초록 55
Table 6.1. Performance Comparison in EUR/USD 41
Table 6.2. Attention Score of EUR/USD 42
Table 6.3. Performance Comparison in USD/JPY 42
Table 6.4. Attention Score of USD/JPY 43
Table 6.5. Performance Comparison in GBP/USD 44
Table 6.6. Attention Score of GBP/USD 44
Table 6.7. Performance Comparison in AUD/USD 45
Table 6.8. Attention Score of AUD/USD 46
Table 6.9. Performance Comparison in USD/CAD 47
Table 6.10. Attention Score of USD/CAD 47
Figure 2.1. Exchange Rates(Weekly, Closing) 17
Figure 3.1. Recurrent dropout 20
Figure 3.2. Early Stopping and Model Checkpoint 22
Figure 5.1. LSTM 28
Figure 5.2. Cell State 28
Figure 5.3. Forget Gate 29
Figure 5.4. Input Gate 30
Figure 5.5. Cell State Update 31
Figure 5.6. Output Gate 31
Figure 5.7. GRU 32
Figure 5.8. CNN-LSTM Structure 34
Figure 5.9. Temporal Fusion Transformer 35
Figure 6.1. Actual vs. Predicted value for EUR/USD and Attention Score 41
Figure 6.2. Actual vs. Predicted value for USD/JPY and Attention Score 43
Figure 6.3. Actual vs. Predicted value for GBP/USD and Attention Score 44
Figure 6.4. Actual vs. Predicted value for AUD/USD and Attention Score 46
Figure 6.5. Actual vs. Predicted value for USD/CAD and Attention Score 47