Abstract
The existence of non-linear deterministic structures in the dynamics of exchange rates has already been amply demonstrated. In this paper, we attempt to exploit these non-linear structures employing forecasting techniques, such as Genetic Programming and Neural Networks, in the specific case of the Yen/US$ and Pound Sterling/US$ exchange rates. Forecasts obtained from genetic programming and neural networks are then genetically fused to verify whether synergy provides an improvement in the predictions. Our analysis considers both point predictions and the anticipating of either depreciations or appreciations.
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First version received: July 2003 / Final version received: June 2004
We wish to thank Pacific Exchange Rate Service for providing us the data.
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Álvarez-Díaz, M., Álvarez, A. Genetic multi-model composite forecast for non-linear prediction of exchange rates. Empirical Economics 30, 643–663 (2005). https://doi.org/10.1007/s00181-005-0249-5
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DOI: https://doi.org/10.1007/s00181-005-0249-5