A Prediction Model of CNN-TLSTM for USD/CNY Exchange Rate Prediction

Abstract

The Exchange rate affects the economic development of various countries. To grasp the information of the changeable exchange rate in time, it is necessary to predict the exchange rate price. This paper proposes the CNN-TLSTM model to predict the United States Dollar/Chinese yuan (USD/CNY) exchange rate closing price of the next trading day. The model consists of two parts, namely convolutional neural networks(CNN)and tanh long short-term memory (TLSTM). The function of CNN is to extract feature factors from the input data. TLSTM is used to receive the output data of CNN for prediction, and finally obtain the prediction result. TLSTM is a new model proposed in this paper to improve the internal structure of the long short-term memory (LSTM). Its advantage is to change the range of the output value of the input gate, retain more data features, and prevent the output value of the input gate in LSTM from being overfitting. This paper selects the exchange rate of USD/CNY data and some stock data for each trading day from January 2, 2006, to October 30, 2020, as the experimental data. To prove the effectiveness of the CNN-TLSTM prediction model, the model is compared with multilayer perceptron (MLP), CNN, recurrent neural network (RNN), LSTM, and CNN-LSTM models. mean absolute percentage error (MAPE), mean square error (MSE), and R-squared (R2) are used for comparative analysis. The experimental results show that the CNN-TLSTM model has the best predictive effect on the USD/CNY exchange rate closing price of the next trading day.