Xiao Xie

Shanghai Advanced Institute of Finance

Shanghai Jiao Tong University

211 West Huaihai Road

Shanghai, 200030

China

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Scholarly Papers (1)

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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
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