Álvarez Díaz, Marcos - In: Applied financial economics 20 (2010) 4/6, pp. 465-476
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...