Fractal Investigation and Maximal Overlap Discrete Wavelet Transformation (MODWT)-based Machine Learning Framework for Forecasting Exchange Rates
Author
Abstract
Suggested Citation
DOI: 10.1177/2321022217724978
Download full text from publisher
References listed on IDEAS
- Anne O. Krueger, 1983. "Trade and Employment in Developing Countries, Volume 3: Synthesis and Conclusions," NBER Books, National Bureau of Economic Research, Inc, number krue83-1.
- LeBaron, Blake, 1999.
"Technical trading rule profitability and foreign exchange intervention,"
Journal of International Economics, Elsevier, vol. 49(1), pages 125-143, October.
- Blake LeBaron, "undated". "Technical Trading Rule Profitability and Foreign Exchange Intervention," Working papers _002, University of Wisconsin - Madison.
- Blake LeBaron, 1996. "Technical Trading Rule Profitability and Foreign Exchange Intervention," NBER Working Papers 5505, National Bureau of Economic Research, Inc.
- LeBaron, B., 1996. "Technical Trading Rule Profitability and Foreing Exchange Intervention," Working papers 9445r, Wisconsin Madison - Social Systems.
- Blake LeBaron, 1994. "Technical Trading Rule Profitability and Foreign Exchange Intervention," International Finance 9411002, University Library of Munich, Germany.
- Ramsey, James B. & Zhang, Zhifeng, 1997. "The analysis of foreign exchange data using waveform dictionaries," Journal of Empirical Finance, Elsevier, vol. 4(4), pages 341-372, December.
- Yuanbing Zheng & Caixin Sun & Jian Li & Qing Yang & Weigen Chen, 2011. "Entropy-Based Bagging for Fault Prediction of Transformers Using Oil-Dissolved Gas Data," Energies, MDPI, vol. 4(8), pages 1-10, August.
- Kaashoek, Johan F & van Dijk, Herman K, 2002. "Neural Network Pruning Applied to Real Exchange Rate Analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(8), pages 559-577, December.
- Tamal Datta Chaudhuri & Indranil Ghosh, 2016. "Artificial Neural Network and Time Series Modeling Based Approach to Forecasting the Exchange Rate in a Multivariate Framework," Papers 1607.02093, arXiv.org.
- G P Zhang & V L Berardi, 2001. "Time series forecasting with neural network ensembles: an application for exchange rate prediction," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 52(6), pages 652-664, June.
- Lemmens, A. & Croux, C., 2006. "Bagging and boosting classification trees to predict churn," Other publications TiSEM d5cb664d-5859-44db-a621-e, Tilburg University, School of Economics and Management.
- Armin Shmilovici & Yoav Kahiri & Irad Ben-Gal & Shmuel Hauser, 2009.
"Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm,"
Computational Economics, Springer;Society for Computational Economics, vol. 33(2), pages 131-154, March.
- Y. Kahiri & A. Shmilovici & S. Hauser, 2006. "Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm," Computing in Economics and Finance 2006 256, Society for Computational Economics.
- H. Wong & Wai-Cheung Ip & Zhongjie Xie & Xueli Lui, 2003. "Modelling and forecasting by wavelets, and the application to exchange rates," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(5), pages 537-553.
- Gençay, Ramazan & Gençay, Ramazan & Selçuk, Faruk & Whitcher, Brandon J., 2001. "An Introduction to Wavelets and Other Filtering Methods in Finance and Economics," Elsevier Monographs, Elsevier, edition 1, number 9780122796708.
- Bela Balassa, 1964. "The Purchasing-Power Parity Doctrine: A Reappraisal," Journal of Political Economy, University of Chicago Press, vol. 72(6), pages 584-584.
- Anne O. Krueger, 1983. "Trade and Employment in Less Developed Countries: The Questions," NBER Chapters, in: Trade and Employment in Developing Countries, Volume 3: Synthesis and Conclusions, pages 1-9, National Bureau of Economic Research, Inc.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Özlem Onaran & Engelbert Stockhammer, 2006.
"The effect of FDI and foreign trade on wages in the Central and Eastern European Countries in the post-transition era: A sectoral analysis,"
Department of Economics Working Papers
wuwp094, Vienna University of Economics and Business, Department of Economics.
- Onaran, Özlem & Stockhammer, Engelbert, 2006. "The effect of FDI and foreign trade on wages in the Central and Eastern European Countries in the post-transition era: A sectoral analysis," Department of Economics Working Paper Series 94, WU Vienna University of Economics and Business.
- Julien Gourdon, 2011.
"Wage inequality in developing countries: South–South trade matters,"
International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 58(4), pages 359-383, December.
- Julien GOURDON, 2007. "Trade and Wage Inequality in Developing Countries: South-South Trade Matter," Working Papers 200710, CERDI.
- Julien Gourdon, 2011. "Trade and Wage Inequality in Developing Countries: South-South Trade Matter," Working Papers halshs-00557113, HAL.
- Gourdon, Julien, 2007. "Trade and Wage Inequality in Developing Countries: South-South Trade Matters," MPRA Paper 4177, University Library of Munich, Germany.
- Sebastian Edwards & Thomas O. Enders & Jesus Silva-Herzog, 1988.
"The United States and Foreign Competition in Latin America,"
NBER Chapters, in: The United States in the World Economy, pages 9-77,
National Bureau of Economic Research, Inc.
- Sebastian Edwards, 1987. "The United States and Foreign Competition in Latin America," UCLA Economics Working Papers 431, UCLA Department of Economics.
- Sebastian Edwards, 1987. "The United States and Foreign Competition in Latin America," NBER Working Papers 2218, National Bureau of Economic Research, Inc.
- Gérard Grellet, 1988. "Stratégies d'industrialisation pour l'Afrique noire," Revue Tiers Monde, Programme National Persée, vol. 29(115), pages 1007-1019.
- repec:unu:wpaper:wp201558 is not listed on IDEAS
- repec:unu:wpaper:wp2015-58 is not listed on IDEAS
- Jorge Saba Arbache, 2001.
"Trade Liberalisation and Labor Markets in Developing Countries: Theory and Evidence,"
Studies in Economics
0112, School of Economics, University of Kent.
- Jorge Saba Arbache, 2015. "Trade Liberalization and Labor Markets in Developing Countries: Theory and Evidence," Discussion Papers 0110, Instituto de Pesquisa Econômica Aplicada - IPEA.
- Edward Tower, 1986. "Industrial Policy In Less Developed Countries," Contemporary Economic Policy, Western Economic Association International, vol. 4(1), pages 23-35, January.
- José Gabriel Palma, 2014. "Has the income share of the middle and upper-middle been stable over time, or is its current homogeneity across the world the outcome of a process of convergence? The 'Palma Ratio' revisited," Cambridge Working Papers in Economics 1437, Faculty of Economics, University of Cambridge.
- D. M. Nachane & Prasad Ranade, 1998. "India's trade balance in the 1980s an econometric analysis," Applied Economics, Taylor & Francis Journals, vol. 30(6), pages 761-774.
- Chong‐Hyun Nam, 2008. "Does Trade Expansion Still Promote Employment in Korea?," The World Economy, Wiley Blackwell, vol. 31(6), pages 720-737, June.
- Tony Addison & Finn Tarp, 2015. "Lessons for Japanese foreign aid from research on aid's impact," WIDER Working Paper Series 058, World Institute for Development Economic Research (UNU-WIDER).
- Costa, Antonio & da Silva, Cristiano & Matos, Paulo, 2022. "The Brazilian financial market reaction to COVID-19: A wavelet analysis," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 13-29.
- Harrison, Ann & Hanson, Gordon, 1999.
"Who gains from trade reform? Some remaining puzzles,"
Journal of Development Economics, Elsevier, vol. 59(1), pages 125-154, June.
- Ann Harrison & Gordon Hanson, 1999. "Who Gains from Trade Reform? Some Remaining Puzzles," NBER Working Papers 6915, National Bureau of Economic Research, Inc.
- Luis Rivera & Hugo Rojas-Romagosa, 2007.
"Economic Implications of an Association Agreement between the European Union and Central America,"
IIDE Discussion Papers
20071001, Institue for International and Development Economics.
- Rivera, Luis & Rojas-Romagosa, Hugo, 2008. "Economic Implications of an Association Agreement between the European Union and Central America," Conference papers 331783, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
- Tony Addison & Finn Tarp, 2015. "Lessons for Japanese Foreign Aid from Research on Aid's Impact," WIDER Working Paper Series wp-2015-058, World Institute for Development Economic Research (UNU-WIDER).
- Spelta, Alessandro & De Giuli, Maria Elena, 2023. "Does renewable energy affect fossil fuel price? A time–frequency analysis for the Europe," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 626(C).
- Alberto Posso & Aaron Soans, 2014. "The rise of the machines: Capital imports and real manufacturing wages in 57 nations," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 23(6), pages 862-877, September.
- Fischer, Justina A.V., 2012.
"Globalization and Political Trust,"
Papers
285, World Trade Institute.
- Fischer, Justina A.V., 2012. "Globalization and Political Trust," MPRA Paper 36327, University Library of Munich, Germany.
- Fischer, Justina A.V., 2012. "Globalization and Political Trust," MPRA Paper 36692, University Library of Munich, Germany.
- Fischer, Justina AV, 2012. "Globalization and political trust," MPRA Paper 37763, University Library of Munich, Germany.
- Chakrabarty, Anindya & De, Anupam & Gunasekaran, Angappa & Dubey, Rameshwar, 2015. "Investment horizon heterogeneity and wavelet: Overview and further research directions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 45-61.
- Gencay, Ramazan & Selcuk, Faruk & Whitcher, Brandon, 2005. "Multiscale systematic risk," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 55-70, February.
- Armin Shmilovici & Yoav Kahiri & Irad Ben-Gal & Shmuel Hauser, 2009.
"Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm,"
Computational Economics, Springer;Society for Computational Economics, vol. 33(2), pages 131-154, March.
- Y. Kahiri & A. Shmilovici & S. Hauser, 2006. "Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm," Computing in Economics and Finance 2006 256, Society for Computational Economics.
More about this item
Keywords
Hurst exponent; random walk model; fractal dimensional index; maximal overlap discrete wavelet transformation; random forest; bagging;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sae:miceco:v:5:y:2017:i:2:p:105-131. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: SAGE Publications (email available below). General contact details of provider: .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.