Non‐linear, non‐parametric, non‐fundamental exchange rate forecasting
Bibliographic record
Abstract
Abstract This paper employs a non‐parametric method to forecast high‐frequency Canadian/US dollar exchange rate. The introduction of a microstructure variable, order flow, substantially improves the predictive power of both linear and non‐linear models. The non‐linear models outperform random walk and linear models based on a number of recursive out‐of‐sample forecasts. Two main criteria that are applied to evaluate model performance are root mean squared error (RMSE) and the ability to predict the direction of exchange rate moves. The artificial neural network (ANN) model is consistently better in RMSE to random walk and linear models for the various out‐of‐sample set sizes. Moreover, ANN performs better than other models in terms of percentage of correctly predicted exchange rate changes. The empirical results suggest that optimal ANN architecture is superior to random walk and any linear competing model for high‐frequency exchange rate forecasting. Copyright © 2006 John Wiley & Sons, Ltd.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.002 | 0.007 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.000 |
| Bibliometrics | 0.000 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.001 | 0.001 |
| Open science | 0.001 | 0.000 |
| Research integrity | 0.001 | 0.001 |
| Insufficient payload (model declined to judge) | 0.001 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".