Exchange rates forecasting using nonparametric methods

Created by W.Langdon from gp-bibliography.bib Revision:1.4420

  author =       "Marcos Alvarez-Diaz",
  title =        "Exchange rates forecasting using nonparametric
  school =       "Columbia University",
  year =         "2006",
  address =      "New York, NY, USA",
  keywords =     "genetic algorithms, genetic programming",
  isbn13 =       "978-0-542-91527-7",
  URL =          "",
  size =         "105 pages",
  abstract =     "The existence of non-linear deterministic structures
                 in the dynamics of exchange rates has already been
                 amply demonstrated in the literature. With my research,
                 I try to explain if we can exploit these non-linear
                 structures in order to improve our predictive ability
                 and, secondly, if we can use these predictions to
                 generate profitable strategies in the Foreign Exchange
                 Market. To this purpose, I employ different
                 nonparametric forecasting methods such as Nearest
                 Neighbours, Genetic Programming, Artificial Neural
                 Networks, Data-Fusion or an Evolutionary Neural
                 Network. My analysis will be centre on the specific
                 case of the Yen/US$ and Pound Sterling/US$ exchange
                 rates and it considers both point predictions and the
                 anticipating of either depreciations or appreciations.
                 My results reveal a slight forecasting ability for
                 one-period-ahead which is lost when more periods ahead
                 are considered, and my trading strategy obtains
                 above-normal profits. However, when transaction costs
                 are incorporated, the profits practically disappear or
                 become negative",
  notes =        "UMI Microform 3237194 ProQuest Dissertations
                 Publishing, 2006. 3237194",

Genetic Programming entries for Marcos Alvarez-Diaz