Forecasting exchange rates using genetic algorithms

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@Article{Alvarez-Diaz:2003:ael,
  author =       "Marcos Alvarez-Diaz and Alberto Alvarez",
  title =        "Forecasting exchange rates using genetic algorithms",
  journal =      "Applied Economics Letters",
  year =         "2003",
  volume =       "10",
  number =       "6",
  pages =        "319--322",
  month =        apr,
  keywords =     "genetic algorithms, genetic programming",
  DOI =          "doi:10.1080/13504850210158250",
  abstract =     "A novel approach is employed to investigate the
                 predictability of weekly data on the euro/dollar,
                 British pound/dollar, Deutsch mark/dollar, Japanese
                 yen/dollar, French franc/dollar and Canadian
                 dollar/dollar exchange rates. A functional search
                 procedure based on the Darwinian theories of natural
                 evolution and survival, called genetic algorithms
                 (hereinafter GA), was used to find an analytical
                 function that best approximates the time variability of
                 the studied exchange rates. In all cases, the
                 mathematical models found by the GA predict slightly
                 better than the random walk model. The models are
                 heavily dominated by a linear relationship with the
                 most recent past value, while contributions from
                 nonlinear terms to the total forecasting performance
                 are rather small. In consequence, the results agree
                 with previous works establishing explicitly that
                 nonlinear nature of exchange rates cannot be exploited
                 to substantially improve forecasting.",
}

Genetic Programming entries for Marcos Alvarez-Diaz Alberto Alvarez Diaz

Citations