Comparison of the accuracy of forecasts based on neural networks before and after the outbreak of the COVID-19 pandemic on the example of selected exchange rates

Jakub Morkowski

doi:10.59139/ps.2022.04.4

Jakub Morkowski Poznań University of Economics and Business, Applied Mathematics Department, al. Niepodległości 10, 61-875, Poznań ORCID:https://orcid.org/0000-0001-5727-5089 Przegląd Statystyczny. Statistical Review, vol. 69, 2022, 4, pages: 41-60 Published online: 31 May 2023 DOI 10.59139/ps.2022.04.4 Citation: Morkowski, J. (2022). Comparison of the accuracy of forecasts based on neural networks before and after the outbreak of the COVID-19 pandemic on the example of selected exchange rates. Przegląd Statystyczny. Statistical Review, 69(4), 41–60. https://doi.org/10.59139/ps.2022.04.4.

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ARTICLE

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ABSTRACT

This article examines the impact of the COVID-19 pandemic on the accuracy of forecasts for three currency pairs before and after its outbreak based on neural networks (ELM, MLP and LSTM) in terms of three factors: the forecast horizon, hyper parameterisation and network type.

KEYWORDS

neural network, currency market, forecasts, COVID-19 pandemic

JEL

C45, C53, E44

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