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

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 ge...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Applied financial economics
1. Verfasser: Álvarez Díaz, Marcos (VerfasserIn)
Format: UnknownFormat
Sprache:eng
Veröffentlicht: 2010
Schlagworte:
Devisenmarkt > Währungsspekulation > Evolutionärer Algorithmus > Aufsatz in Zeitschrift
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung: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.
Beschreibung:graph. Darst.
ISSN:0960-3107