Speculative strategies in the foreign exchange market based on genetic programming predictions

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@Article{Alvarez-Diaz:2010:AFE,

• author = "Marcos {Alvarez Diaz}",
• title = "Speculative strategies in the foreign exchange market based on genetic programming predictions",
• journal = "Applied Financial Economics",
• year = "2010",
• volume = "20",
• number = "6",
• pages = "465--476",
• month = mar,
• keywords = "genetic algorithms, genetic programming",
• DOI = "10.1080/09603100903459782",
• oai = "oai:RePEc:taf:apfiec:v:20:y:2010:i:6:p:465-476",
• abstract = "In this article, we investigate the out-of-sample forecasting ability of a Genetic Program (GP) to approach the dynamic evolution of the yen/US dollar and British pound/US dollar exchange rates, and verify whether the method can beat the random walk model. Later on, we use the predicted values to generate a trading rule and we check the possibility of obtaining extraordinary profits in the foreign exchange market. Our results reveal a slight forecasting ability for one-period-ahead, which is lost when more periods ahead are considered. On the other hand, our trading strategy obtains above-normal profits. However, when transaction costs are incorporated, the profits practically disappear or become negative.",
• notes = "Department of Economics, University of Vigo, Galicia, Spain",

}

Genetic Programming entries for Marcos Alvarez-Diaz

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