Machine Learning and the Random Walk Puzzle: Forecasting the CAD/USD Exchange Rate with Expanding Window Evaluation and SHAP Interpretability

Louis Agyekum, Edmund Fosu Agyemang, Obu-Amoah Ampomah +6

This study examines whether machine learning (ML) models can outperform the naive random walk benchmark in forecasting the monthly USD/CAD exchange rate. Using daily data from the…