Journal of the Chungcheong Mathematical Society (충청수학회지)

The Chungcheong Mathematical Society (충청수학회)
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FORECASTING GOLD FUTURES PRICES CONSIDERING THE BENCHMARK INTEREST RATES

  • Lee, Donghui (Department of Mathematics Pusan National University) ;
  • Kim, Donghyun (Department of Mathematics Pusan National University) ;
  • Yoon, Ji-Hun (Department of Mathematics Pusan National University)
  • Received : 2021.03.27
  • Accepted : 2021.05.06
  • Published : 2021.05.15
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Abstract

This study uses the benchmark interest rate of the Federal Open Market Committee (FOMC) to predict gold futures prices. For the predictions, we used the support vector machine (SVM) (a machine-learning model) and the long short-term memory (LSTM) deep-learning model. We found that the LSTM method is more accurate than the SVM method. Moreover, we applied the Boruta algorithm to demonstrate that the FOMC benchmark interest rates correlate with gold futures.

Keywords

Acknowledgement

The research of J.-H. Yoon was supported by the NRF of Korea (NRF-2019R1A2C108931012)

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