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Modelado del comportamiento del tipo de cambio peso-dólar mediante redes neuronales diferenciales / Peso-Dollar Exchange Rate Behavior Modelling by means of Differential Neural Networks

Author

Listed:
  • Ortíz Arango, Francsco

    (Universidad Panamericana, Escuela de Ciencias Económicas y Empresariales)

  • Cabrera Llanos, Agustín I.

    (Instituto Politécnico Nacional, Unidad Profesional Interdisciplinaría de Biotecnología)

  • Cruz Aranda, Fernando

    (Universidad Panamericana, Escuela de Ciencias Económicas y Empresariales)

Abstract

Las redes neuronales artificiales se han venido consolidando como una técnica confiable para analizar comportamientos de variables económicas y financieras. Sus primeros usos en las finanzas datan de inicios de la década de los 90 ́s. A través de estos años su uso como herramienta de modelación y descripción de sistemas dinámicos no lineales en general, se ha ido consolidando como una técnica eficaz y relativamente rápida, gracias al gran desarrollo experimentado en los sistemas de cómputo. En el presente trabajo se utiliza a las Redes Neuronales Diferenciales (RND) como herramienta de análisis y descripción del comportamiento del tipo de cambio entre el peso mexicano y el dólar estadounidense durante el periodo del 3 de enero de 2000 al 5 de octubre de 2011. El empleo de esta técnica de uso común en el análisis de sistemas dinámicos complejos no lineales empleada en las áreas de ingeniería y biología, mostró un excelente desempeño en la descripción de la paridad peso-dólar desarrollada en este trabajo. / Artificial neural networks have been consolidated as a reliable technique to analyze behaviors of economic and financialvariables. Its first use in finance was on the early 90’s. Through theseyears, itsuse as a tool for modeling and description of general nonlinear dynamical systems hasbeen consolidated as an effective and ¿ relatively fast technique, thanks to the great development experienced in computer systems. In this paper we use a Differential Neural Networks (DNN) as a tool of analysis and description of the behavior of exchange rate between the mexican peso and the U.S. dollar during the period from January 3 of 2000 to October 5 of 2011. The use of this technique very common in the analysis of complex nonlinear dynamical systems in the areas of engineering and biology, showed an excellent performance in the description of the peso-dollar exchange developed in this work.

Suggested Citation

  • Ortíz Arango, Francsco & Cabrera Llanos, Agustín I. & Cruz Aranda, Fernando, 2012. "Modelado del comportamiento del tipo de cambio peso-dólar mediante redes neuronales diferenciales / Peso-Dollar Exchange Rate Behavior Modelling by means of Differential Neural Networks," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 2(1), pages 49-64, enero-jun.
    • Handle: RePEc:sfr:efruam:v:2:y:2012:i:1:p:49-64
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    More about this item

    Keywords

    Redes neuronales diferenciales; Sistemas dinámicos no lineales; Tipo de cambio;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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