%0 Conference Paper %1 Kaboudan:2005:CIEF %A Kaboudan, Mak %B The 4th International Workshop on Computational Intelligence in Economics and Finance (CIEF'2005) %C Marriott City Center, Salt Lake City, Utah, USA %D 2005 %E Wang, Paul P. %K algorithms, genetic networks, neural programming, wavelets %P (CIEF-10) %T Computational Forecasting of Two Exchange Rates %U http://bulldog2.redlands.edu/fac/mak_kaboudan/kaboudan_cief05.pdf %X 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.

@inproceedings{Kaboudan:2005:CIEF, 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.}, added-at = {2008-06-19T17:35:00.000+0200}, address = {Marriott City Center, Salt Lake City, Utah, USA}, author = {Kaboudan, Mak}, biburl = {https://www.bibsonomy.org/bibtex/2430766809fd5db4f4f746e27d00beadb/brazovayeye}, booktitle = {The 4th International Workshop on Computational Intelligence in Economics and Finance (CIEF'2005)}, editor = {Wang, Paul P.}, email = {Mak_kaboudan@Redlands.edu}, interhash = {60847a7ff3774d4c9c19fa92b11535ef}, intrahash = {430766809fd5db4f4f746e27d00beadb}, keywords = {algorithms, genetic networks, neural programming, wavelets}, month = {July 21-26}, notes = {http://www.aiecon.org/cief2005/schedule.htm}, pages = {(CIEF-10)}, timestamp = {2008-06-19T17:42:48.000+0200}, title = {Computational Forecasting of Two Exchange Rates}, url = {http://bulldog2.redlands.edu/fac/mak_kaboudan/kaboudan_cief05.pdf}, year = 2005 }