Computational Forecasting of Two Exchange Rates

Created by W.Langdon from gp-bibliography.bib Revision:1.4504

  author =       "Mak Kaboudan",
  title =        "Computational Forecasting of Two Exchange Rates",
  booktitle =    "The 4th International Workshop on Computational
                 Intelligence in Economics and Finance (CIEF'2005)",
  year =         "2005",
  editor =       "Paul P. Wang",
  pages =        "(CIEF-10)",
  address =      "Marriott City Center, Salt Lake City, Utah, USA",
  month =        jul # " 21-26",
  email =        "",
  keywords =     "genetic algorithms, genetic programming, neural
                 networks, wavelets",
  URL =          "",
  abstract =     "genetic programming and artificial neural networks are
                 employed to forecast two different exchange rates, US
                 dollar/Japanese Yen and US dollar/Taiwan dollar.
                 Extended forecasts (that go beyond one-step-ahead)
                 obtained using the computational techniques were
                 compared with naive random walk predictions of the two
                 exchange rates. Sixteen-step-ahead forecasts obtained
                 using genetic programming outperformed the one- and
                 sixteen-step-ahead random walk US dollar/Taiwan dollar
                 exchange rate predictions. Further, sixteen-step-ahead
                 forecasts of the wavelet-transformed US dollar/Japanese
                 Yen exchange rate also using genetic programming
                 outperformed the sixteen-step-ahead random walk
                 predictions of the exchange rate.",
  notes =        "",

Genetic Programming entries for Mahmoud A Kaboudan