Genetic multi-model composite forecast for non-linear prediction of exchange rates

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@Article{Alvarez-Diaz:2005:EE,
  author =       "Marcos Alvarez-Diaz and Alberto Alvarez",
  title =        "Genetic multi-model composite forecast for non-linear
                 prediction of exchange rates",
  journal =      "Empirical Economics",
  year =         "2005",
  volume =       "30",
  number =       "3",
  pages =        "643--663",
  month =        oct,
  keywords =     "genetic algorithms, genetic programming,
                 Composite-forecast or data-fusion, neural networks,
                 exchange-rate forecasting",
  ISSN =         "0377-7332",
  DOI =          "doi:10.1007/s00181-005-0249-5",
  abstract =     "The existence of non-linear deterministic structures
                 in the dynamics of exchange rates has already been
                 amply demonstrated. In this paper, we attempt to
                 exploit these non-linear structures employing
                 forecasting techniques, such as Genetic Programming and
                 Neural Networks, in the specific case of the Yen/US$
                 and Pound Sterling/US$ exchange rates. Forecasts
                 obtained from genetic programming and neural networks
                 are then genetically fused to verify whether synergy
                 provides an improvement in the predictions. Our
                 analysis considers both point predictions and the
                 anticipating of either depreciations or
                 appreciations.",
}

Genetic Programming entries for Marcos Alvarez-Diaz Alberto Alvarez Diaz

Citations