Author： Alvarez-Diaz Marcos Alvarez Alberto
Publisher： Routledge Ltd
ISSN： 1744-6546
Source： Applied Financial Economics Letters, Vol.3, Iss.1, 2007-01, pp. : 5-9
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Abstract
In this article, we employ an Evolutionary Neural Network to forecast exchange rates returns for the Japanese Yen and the British Pound against the US dollar. This method combines genetic programming and neural network methodologies. Empirical results show the existence of a short-term weak predictable structure for both currencies. Therefore, they do not support the hypothesis that the exchange rates follow a random walk and that returns are unpredictable.
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