Speculative strategies in the foreign exchange market based on genetic programming predictions

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@Article{Alvarez-Diaz:2010:AFE,
  author =       "Marcos {Alvarez Diaz}",
  title =        "Speculative strategies in the foreign exchange market
                 based on genetic programming predictions",
  journal =      "Applied Financial Economics",
  year =         "2010",
  volume =       "20",
  number =       "6",
  pages =        "465--476",
  month =        mar,
  keywords =     "genetic algorithms, genetic programming",
  DOI =          "doi:10.1080/09603100903459782",
  oai =          "oai:RePEc:taf:apfiec:v:20:y:2010:i:6:p:465-476",
  abstract =     "In this article, we investigate the out-of-sample
                 forecasting ability of a Genetic Program (GP) to
                 approach the dynamic evolution of the yen/US dollar and
                 British pound/US dollar exchange rates, and verify
                 whether the method can beat the random walk model.
                 Later on, we use the predicted values to generate a
                 trading rule and we check the possibility of obtaining
                 extraordinary profits in the foreign exchange market.
                 Our results reveal a slight forecasting ability for
                 one-period-ahead, which is lost when more periods ahead
                 are considered. On the other hand, our trading strategy
                 obtains above-normal profits. However, when transaction
                 costs are incorporated, the profits practically
                 disappear or become negative.",
  notes =        "Department of Economics, University of Vigo, Galicia,
                 Spain",
}

Genetic Programming entries for Marcos Alvarez-Diaz

Citations