Forecasting exchange rates using local regression

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  title =        "Forecasting exchange rates using local regression",
  author =       "Marcos Alvarez-Diaz and Alberto Alvarez",
  journal =      "Applied Economics Letters",
  year =         "2010",
  volume =       "17",
  number =       "5",
  pages =        "509--514",
  month =        mar,
  keywords =     "genetic algorithms, genetic programming, local
  DOI =          "doi:10.1080/13504850801987217",
  oai =          "oai:RePEc:taf:apeclt:v:17:y:2010:i:5:p:509-514",
  size =         "6 pages",
  abstract =     "In this article we use a generalisation of the
                 standard nearest neighbours, called local regression
                 (LR), to study the predictability of the yen/US dollar
                 and pound sterling/US dollar exchange rates. We also
                 compare our results with those previously obtained with
                 global methods such as neural networks, genetic
                 programming, data fusion and evolutionary neural
                 networks. We want to verify if we can generalise to the
                 exchange rate forecasting problem the belief that local
                 methods beat global ones.",
  notes =        "In this letter we have used LR to verify three aspects
                 regarding to exchange rate forecasting for the Japanese
                 yen and the British pound against US dollar. Firstly,
                 we analyse their predictability discovering the
                 existence of a short-term predictable structure in the
                 temporal evolution of both currencies. Secondly, we
                 confirm the homogeneity behaviour in terms of
                 forecasting for weekly exchange rates and, finally, we
                 also verify that local methods do not always beat to
                 the global ones in an exchange rate forecasting

Genetic Programming entries for Marcos Alvarez-Diaz Alberto Alvarez Diaz