DATS 6202: Machine Learning 1 Final Project

Time Series Prediction of Foreign Exchange Rates Using LSTM

This repo consists of the final project for Grady Renfrow and Andrew Gobbi. In it, we examine the forecasting potential of a simple LSTM architecture in making onestep ahead forecasts of the Swiss Franc to United States Dollar (CHF/USD) and Brazilian Real to United States Dollar (BRL/USD) daily time series. We test our model on movements in time series levels and first differences.