Forecasting exchange rates using local regression

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@Article{Alvarez-Diaz:2010:AEL,

• title = "Forecasting exchange rates using local regression",
• author = "Marcos Alvarez-Diaz and Alberto Alvarez",
• journal = "Applied Economics Letters",
• year = "2010",
• volume = "17",
• number = "5",
• pages = "509--514",
• month = mar,
• keywords = "genetic algorithms, genetic programming, local search",
• ISSN = "1350-4851",
• URL = "http://hdl.handle.net/10261/54902",
• URL = "https://ideas.repec.org/a/taf/apeclt/v17y2010i5p509-514.html",
• DOI = "doi:10.1080/13504850801987217",
• oai = "oai:RePEc:taf:apeclt:v:17:y:2010:i:5:p:509-514",
• size = "6 pages",
• abstract = "In this article we use a generalisation of the standard nearest neighbours, called local regression (LR), to study the predictability of the yen/US dollar and pound sterling/US dollar exchange rates. We also compare our results with those previously obtained with global methods such as neural networks, genetic programming, data fusion and evolutionary neural networks. We want to verify if we can generalise to the exchange rate forecasting problem the belief that local methods beat global ones.",
• notes = "In this letter we have used LR to verify three aspects regarding to exchange rate forecasting for the Japanese yen and the British pound against US dollar. Firstly, we analyse their predictability discovering the existence of a short-term predictable structure in the temporal evolution of both currencies. Secondly, we confirm the homogeneity behaviour in terms of forecasting for weekly exchange rates and, finally, we also verify that local methods do not always beat to the global ones in an exchange rate forecasting exercise.",

}

Genetic Programming entries for Marcos Alvarez-Diaz Alberto Alvarez Diaz

Citations