Exchange rates forecasting using nonparametric methods
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- @PhdThesis{Marcos_Alvarez-Diaz:thesis,
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author = "Marcos Alvarez-Diaz",
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title = "Exchange rates forecasting using nonparametric
methods",
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school = "Columbia University",
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year = "2006",
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address = "New York, NY, USA",
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keywords = "genetic algorithms, genetic programming",
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isbn13 = "978-0-542-91527-7",
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URL = "http://search.proquest.com/docview/305345652",
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size = "105 pages",
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abstract = "The existence of non-linear deterministic structures
in the dynamics of exchange rates has already been
amply demonstrated in the literature. With my research,
I try to explain if we can exploit these non-linear
structures in order to improve our predictive ability
and, secondly, if we can use these predictions to
generate profitable strategies in the Foreign Exchange
Market. To this purpose, I employ different
nonparametric forecasting methods such as Nearest
Neighbours, Genetic Programming, Artificial Neural
Networks, Data-Fusion or an Evolutionary Neural
Network. My analysis will be centre on the specific
case of the Yen/US$ and Pound Sterling/US$ exchange
rates and it considers both point predictions and the
anticipating of either depreciations or appreciations.
My results reveal a slight forecasting ability for
one-period-ahead which is lost when more periods ahead
are considered, and my trading strategy obtains
above-normal profits. However, when transaction costs
are incorporated, the profits practically disappear or
become negative",
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notes = "UMI Microform 3237194 ProQuest Dissertations
Publishing, 2006. 3237194",
- }
Genetic Programming entries for
Marcos Alvarez-Diaz
Citations