全部 标题 作者
关键词 摘要

OALib Journal期刊
ISSN: 2333-9721
费用:99美元

查看量下载量

相关文章

更多...
iBusiness  2022 

Exchange Rate Forecasting via a Machine Learning Approach

DOI: 10.4236/ib.2022.143009, PP. 119-126

Keywords: Artificial Intelligence, Exchange Rate, Machine Learning, Random Forest Algorithm

Full-Text   Cite this paper   Add to My Lib

Abstract:

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

Full-Text

comments powered by Disqus

Contact Us

service@oalib.com

QQ:3279437679

WhatsApp +8615387084133

WeChat 1538708413