| Summary: | 本研究要探討的是在新聞、論壇和社群媒體討論的相關訊息是否真的會影響匯率的運動的假設。對於這樣的研究目標，我們建立了一個實驗，首先以文字探勘技術應用在新聞、論壇與社群媒體來產生與匯率相關的數值表示。接著，機器學習技術應用於學習得到的數值表示和匯率波動之間的關係。最後，我們證明透過檢驗所獲得的關係的有效性的假設。在此研究中，我們提出一種兩階段的神經網路來學習與預測每日美金兌台幣匯率的走勢。不同於其他專注於新聞或者社群媒體的研究，我們將他們進行整合，並將論壇的討論納為輸入資料。不同的資料組合產生出多種觀點，而三個資料來源的不同組合可能會以不同的方式影響預測準確率。透過該方法，初步實驗的結果顯示此方法優於隨機漫步模型。 === This study wants to explore the hypothesis that the relevant information in the news, the posts in forums and discussions on the social media can really affect the daily movement of exchange rates. For such study objective, we set up an experiment, where the text mining technique is first applied to the news, the forum and the social media to generate numerical representations regarding the textual information relevant with the exchange rate. Then the machine learning technique is applied to learn the relationship between the derived numerical representations and the movement of exchange rates. At the end, we justify the hypothesis through examining the effectiveness of the obtained relationship. In this paper, we propose a hybrid neural networks to learn and forecast the daily movements of USD/TWD exchange rates. Different from other studies, which focus on news or social media, we integrate them and add the discussion of forum as input data. Different data combinations yield many views while different combination of three data sources might affect the forecasting accuracy rate in different ways. As a result of this method, the experiment result was better than random walk model.
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