Exchange rate prediction research based on LSTM-ELM hybrid model

Abstract

The fluctuation of exchange rates holds paramount importance for a country's economic and trade activities. Due to the non-stationary and nonlinear structural characteristics of exchange rate time series, accurately predicting exchange rate movements is a challenging task. Single machine learning models often exhibit lower precision in exchange rate prediction compared to combined machine learning models. Hence, employing a combined model approach aims to enhance the predictive performance of exchange rate models. Both Long Short-Term Memory (LSTM) and Extreme Learning Machine (ELM) exhibit intricate structures, making their direct integration challenging. To address this issue, an innovative weighted approach is adopted in this study, combining LSTM and ELM models and further refining the combination weights using an improved Marine Predators Algorithm. This paper encompasses both univariate and multivariate prediction scenarios, employing two distinct allocation strategies for training and testing datasets. This is done to investigate the influence of different dataset allocations on exchange rate prediction. Finally, the proposed LSTM-ELM weighted combination exchange rate prediction model is compared with SVM, Random Forest, ELM, LSTM, and LSTM-ELM average combination models. Experimental results demonstrate that the LSTM-ELM weighted combination exchange rate prediction model outperforms the others in both univariate and multivariate prediction settings, yielding higher predictive accuracy and superior fitting performance. Consequently, the LSTM-ELM weighted combination prediction model proves to be effective in exchange rate forecasting.