Computational Forecasting of Two Exchange Rates

Created by W.Langdon from gp-bibliography.bib Revision:1.8051

@InProceedings{Kaboudan:2005:CIEF,

• author = "Mak Kaboudan",
• title = "Computational Forecasting of Two Exchange Rates",
• booktitle = "The 4th International Workshop on Computational Intelligence in Economics and Finance (CIEF'2005)",
• year = "2005",
• editor = "Paul P. Wang",
• pages = "(CIEF-10)",
• address = "Marriott City Center, Salt Lake City, Utah, USA",
• month = jul # " 21-26",
• email = "Mak_kaboudan@Redlands.edu",
• keywords = "genetic algorithms, genetic programming, neural networks, wavelets",
• URL = "http://bulldog2.redlands.edu/fac/mak_kaboudan/kaboudan_cief05.pdf",
• abstract = "genetic programming and artificial neural networks are employed to forecast two different exchange rates, US dollar/Japanese Yen and US dollar/Taiwan dollar. Extended forecasts (that go beyond one-step-ahead) obtained using the computational techniques were compared with naive random walk predictions of the two exchange rates. Sixteen-step-ahead forecasts obtained using genetic programming outperformed the one- and sixteen-step-ahead random walk US dollar/Taiwan dollar exchange rate predictions. Further, sixteen-step-ahead forecasts of the wavelet-transformed US dollar/Japanese Yen exchange rate also using genetic programming outperformed the sixteen-step-ahead random walk predictions of the exchange rate.",
• notes = "Broken Dec 2020 http://www.aiecon.org/cief2005/schedule.htm",

}

Genetic Programming entries for Mahmoud A Kaboudan

Citations