David Rapach

Washington University in St. Louis

One Brookings Drive

Campus Box 1133

St. Louis, MO 63130-4899

United States

Saint Louis University

Lindell Boulevard

Saint Louis, MO 63108

United States

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Exchange Rate Prediction with Machine Learning and a Smart Carry Trade Portfolio

Number of pages: 117 Posted: 22 Sep 2020
Washington University in St. Louis - John M. Olin Business School, Washington University in St. Louis, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
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Abstract:

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carry trade, deep neural network, Elastic Net, exchange rate predictability