Forecasting US dollar exchange rate movement with computational models and human behavior
Expert Systems with Applications(2022)
摘要
•Benefits are adding Behavioral Finance to the Machine Learning framework.•We assume Calendar Effects induce deterministic patterns in financial time series.•We used it to improve existing voting-based ensemble models with no retraining.•Prediction: the Brazilian Real to the US Dollar daily exchange rate movement.•The metric reached a value 24% higher than the original voting-based ensemble model.
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关键词
Exchange rate,Behavioral finance,Ensemble models,Machine learning
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