Xiao Xie

Shanghai Advanced Institute of Finance

Shanghai Jiao Tong University

211 West Huaihai Road

Shanghai, 200030

China

  • Shanghai Advanced Institute of Finance

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A Machine Learning Approach to Forecasting Carry Trade Returns

Xiao Wang, Xiao Xie, Yihua Chen & Borui Zhao (2021) A machine learning approach to forecasting carry trade returns, Applied Economics Letters, https://doi.org/10.1080/13504851.2021.1918624
Number of pages: 15 Posted: 03 Nov 2020 Last Revised: 04 Oct 2021
Xiao Wang, Xiao Xie, Yihua Chen and Borui Zhao
University of Science and Technology of China, Shanghai Advanced Institute of Finance, affiliation not provided to SSRN and University of Science and Technology of China (USTC)
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Abstract:

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carry trade, uncovered interest rate parity, machine learning, long short-term memory networks