Improving data efficiency for analyzing global exchange rate fluctuations based on nonlinear causal network-based clustering.

This study used information theory and network theory to predict the fluctuations of currency values of the machine learning model. For experiments, we calculate the causal relationships between currencies using loarithmic return (log-return) and entropic value-at-risk (EVaR) values of gold price per troy ounce in 48 currencies over 25 years. To quantify the causal relationships, we used the concept of transfer entropy.