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Forecasting gold price with the XGBoost algorithm and SHAP interaction values

Abstract
Abstract Financial institutions investors mining companies and related firms need an effective accurate forecasting model to examine gold price fluctuations in order to make correct decisions. This paper proposes an innovative approach to accurately forecast gold price movements and to interpret predictions. First it compares six machine learning models. These models include two very recent methods: the eXtreme Gradient Boosting (XGBoost) and CatBoost. The empirical findings indicate the superiority of XGBoost over other advanced machine learning models. Second it proposes Shapley additive explanations (SHAP) in order to help policy makers to interpret the predictions of complex machine learning models and to examine the importance of various features that affect gold prices. Our results illustrate that the utilization of XGBoost along with SHAP approach could provide a significant boost in increasing the gold price forecasting performance.
Authors
Sami Ben Jabeur Salma Mefteh-Wali Sami Ben Jabeur: Confluence: Sciences Et Humanit├ęs - UCLY ESDES Salma Mefteh-Wali: ESSCA School of Management Jean-Laurent Viviani: University of Rennes 1 CNRS
Keywords
Gold price ; XGBoost ; CatBoost ; Shapley additive explanations (search for similar items in EconPapers)
Rank
0.74
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Gradient Boosting
Series
Annals of Operations Research 2024 vol. 334 issue 1 No 25 679-699
Time Added
2024/03/18 03:32
Total Downloads
0
Year Published
2024
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