Year: 2024
Type: article
Abstract: Gold plays a pivotal role in asset allocation, and the construction of gold price prediction models represents a complex yet rewarding task within the field of finance. The problem of international gold price is addressed in this paper forecasting by proposing a standard Long-Short Term Memory (LSTM) model and introducing bi-directional LSTM (Bi-LSTM) networks and multivariate analysis to compare the forecasting accuracy of the relevant models. This comparison is based on the daily gold price of the London Bullion Market Association (LBMA) for 2013-2022. This methodology takes into account various factors that influence the gold market and incorporates them as input sources into the Multi-factor LSTM model, thereby enhancing the interpretability of the LSTM model. Correlation analysis and the Granger test are employed to analyze these influencing factors. However, the results of this study suggest that while the Multi-factor LSTM model may be more accurate in predicting outliers, it tends to increase the number of small errors. On the other hand, the inclusion of Bi-LSTM networks can improve the overall accuracy of gold price prediction.
Author: Haoyang Yan
Institution: Guangdong University of Finance
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: hybrid
OpenAlex ID: W4403371756