This paper attempts to forecast exchange rates by
applying a machine learning approach. More specifically, in this study, we
attempt to forecast the dynamic evolutions of the four exchange rates of
Canadian dollars, Australian dollars, Great Britain pounds, and euros, which
are all against the US dollar, by using random forest methodology. Evaluating
the effectiveness, we find that the predictive performance of random forest
approach in exchange rate forecasting is rather high.
References
[1]
Breiman, L. (2001). Random Forests. Machine Learning, 45, 5-32.
https://doi.org/10.1023/A:1010933404324
[2]
Chen, S., & Ge, L. (2019). Exploring the Attention Mechanism in LSTM-Based Hong Kong Stock Price Movement Prediction. Quantitative Finance, 19, 1507-1515.
https://doi.org/10.1080/14697688.2019.1622287
[3]
Ju, G., Kim, K. K., & Lim, D. Y. (2019). Learning Multi-Market Microstructure from Order Book Data. Quantitative Finance, 19, 1517-1529.
https://doi.org/10.1080/14697688.2019.1622305
[4]
Lahmiri, S., & Bekiros, S. (2019). Can Machine Learning Approaches Predict Corporate Bankruptcy? Evidence from a Qualitative Experimental Design. Quantitative Finance, 19, 1569-1577. https://doi.org/10.1080/14697688.2019.1588468
[5]
Procacci, P. F., & Aste, T. (2019). Forecasting Market States. Quantitative Finance, 19, 1491-1498. https://doi.org/10.1080/14697688.2019.1622313
[6]
Shi, Z. (2019). Cognitive Machine Learning. International Journal of Intelligence Science, 9, 111-121. https://doi.org/10.4236/ijis.2019.94007
[7]
Sirignano, J., & Cont, R. (2019). Universal Features of Price Formation in Financial Markets: Perspectives from Deep Learning. Quantitative Finance, 19, 1449-1459.
https://doi.org/10.1080/14697688.2019.1622295
[8]
Tsuji, C. (2022). The Meaning of Structural Breaks for Risk Management: New Evidence, Mechanisms, and Innovative Views for the Post-COVID-19 Era. Quantitative Finance and Economics, 6, 270-302. https://doi.org/10.3934/QFE.2022012
[9]
Zhu, X., Ao, X., Qin, Z., Liu, Y., He, Q., & Li, J. (2021). Intelligent Financial Fraud Detection Practices in Post-Pandemic Era. The Innovation, 2, Article ID: 100176.
https://doi.org/10.1016/j.xinn.2021.100176