Predicción No-Lineal De Tipos De Cambio: Algoritmos Genéticos, Redes Neuronales Y Fusión De Datos
It 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
|Date of creation:||May 2002|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 986 - 812500
Fax: 986 - 812401
Web page: http://webx06.webs.uvigo.es/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lubecke, Thomas H. & Nam, Kyung Doo & Markland, Robert E. & Kwok, Chuck C. Y., 1998. "Combining foreign exchange rate forecasts using neural networks," Global Finance Journal, Elsevier, vol. 9(1), pages 5-27.
- Christopher J. Neely & Paul A. Weller & Robert Dittmar, 1997.
"Is technical analysis in the foreign exchange market profitable? a genetic programming approach,"
1996-006, Federal Reserve Bank of St. Louis.
- Neely, Christopher & Weller, Paul & Dittmar, Rob, 1997. "Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(04), pages 405-426, December.
- Dittmar, Robert & Neely, Christopher J & Weller, Paul, 1996. "Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach," CEPR Discussion Papers 1480, C.E.P.R. Discussion Papers.
- Pesaran, M.H. & Timmermann, A., 1990.
"A Simple Non-Parametric Test Of Predictive Performance,"
29, California Los Angeles - Applied Econometrics.
- Pesaran, M Hashem & Timmermann, Allan, 1992. "A Simple Nonparametric Test of Predictive Performance," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 561-65, October.
- Pesaran, M.H. & Timmermann, A., 1990. "A Simple, Non-Parametric Test Of Predictive Performance," Cambridge Working Papers in Economics 9021, Faculty of Economics, University of Cambridge.
- Qi, Min, 1999. "Nonlinear Predictability of Stock Returns Using Financial and Economic Variables," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(4), pages 419-29, October.
- Szpiro, George G, 1997. "A Search for Hidden Relationships: Data Mining with Genetic Algorithms," Computational Economics, Society for Computational Economics, vol. 10(3), pages 267-77, August.
- Soofi, Abdol S. & Cao, Liangyue, 1999. "Nonlinear deterministic forecasting of daily Peseta-Dollar exchange rate," Economics Letters, Elsevier, vol. 62(2), pages 175-180, February.
- Colin Fyfe & John Paul Marney & Heather Tarbert, 1999. "Technical analysis versus market efficiency - a genetic programming approach," Applied Financial Economics, Taylor & Francis Journals, vol. 9(2), pages 183-191.
- Francis X. Diebold & James M. Nason, 1989.
"Nonparametric exchange rate prediction?,"
Finance and Economics Discussion Series
81, Board of Governors of the Federal Reserve System (U.S.).
- Bajo-Rubio, Oscar & Fernandez-Rodriguez, Fernando & Sosvilla-Rivero, Simon, 1992. "Chaotic behaviour in exchange-rate series : First results for the Peseta--U.S. dollar case," Economics Letters, Elsevier, vol. 39(2), pages 207-211, June.
- Zhang, Gioqinang & Hu, Michael Y., 1998. "Neural network forecasting of the British Pound/US Dollar exchange rate," Omega, Elsevier, vol. 26(4), pages 495-506, August.
- Racine, Jeffrey, 2001. "On the Nonlinear Predictability of Stock Returns Using Financial and Economic Variables," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 380-82, July.
- Beenstock, Michael & Szpiro, George, 2002. "Specification search in nonlinear time-series models using the genetic algorithm," Journal of Economic Dynamics and Control, Elsevier, vol. 26(5), pages 811-835, May.
- Fernandez-Rodriguez, Fernando & Sosvilla-Rivero, Simon, 1998. "Testing nonlinear forecastability in time series: Theory and evidence from the EMS," Economics Letters, Elsevier, vol. 59(1), pages 49-63, April.
- Hsieh, David A, 1989. "Testing for Nonlinear Dependence in Daily Foreign Exchange Rates," The Journal of Business, University of Chicago Press, vol. 62(3), pages 339-68, July.
- Kuan, Chung-Ming & Liu, Tung, 1995. "Forecasting Exchange Rates Using Feedforward and Recurrent Neural Networks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(4), pages 347-64, Oct.-Dec..
When requesting a correction, please mention this item's handle: RePEc:vig:wpaper:0205. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Patricia González Piñeiro)
If references are entirely missing, you can add them using this form.