Exchange Rate Forecasting via a Machine Learning Approach ()
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.
Share and Cite:
Tsuji, C. (2022) Exchange Rate Forecasting via a Machine Learning Approach.
iBusiness,
14, 119-126. doi:
10.4236/ib.2022.143009.
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