Predicción No-Lineal De Tipos De Cambio: Algoritmos Genéticos, Redes Neuronales Y Fusión De Datos
AbstractIt is widely proved the existence of non-linear deterministic structures in the exchange rates dynamic. In this work we intend to exploit these non-linear structures using forecasting methods such as Genetic Algorithm and Neural Networks in the specific case of the Yen/$ and British Pound/$ exchange rates. We also employ a novel perspective, called Data Fusion, based on the combination of the obtained results by the non-linear methods to verify if it exists a synergic effect which permits a predictive improvement. The analysis is performed considering both the point prediction and the devaluation or appreciation anticipation.
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Bibliographic InfoPaper provided by Universidade de Vigo, Departamento de Economía Aplicada in its series Working Papers with number 0301.
Length: 38 pages
Date of creation: Feb 2003
Date of revision:
Data Fusion; Genetic Algorithms; Neural Networks; Exchange Rates Forecasting;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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