Forecasting US dollar exchange rate movement with computational models and human behavior

Expert Systems with Applications(2022)

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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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