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Técnicas metaheurísticas para pronosticar el tipo de cambio del dólar de Estados Unidos con respecto al peso mexicano / Adaptation of Metaheuristic Techniques to Forecast the USD Dollar-MXN Peso Exchange Rate

Author

Listed:
  • López Malpica, Gustavo

    (Departamento de Sistemas, Universidad Autónoma Metropolitana, Unidad Azcapotzalco, Ciudad de México, México)

  • Hoyos Reyes, Luis Fernando

    (Departamento de Sistemas, Universidad Autónoma Metropolitana, Unidad Azcapotzalco, Ciudad de México, México)

  • Rodríguez Benavides, Domingo

    (Departamento de Sistemas, Universidad Autónoma Metropolitana, Unidad Azcapotzalco, Ciudad de México, México)

  • Mora Gutiérrez, Roman Anselmo

    (Departamento de Sistemas, Universidad Autónoma Metropolitana, Unidad Azcapotzalco, Ciudad de México, México)

Abstract

El documento explica el proceso a través del cual, mediante el uso de metaheurísticas se pronostica el tipo de cambio del dólar americano respecto al peso. Para tal fin se emplean las cotizaciones de esta moneda entre el 2 de enero de 2018 y el 13 de diciembre de 2019, posteriormente se comparan los pronósticos con las cotizaciones observadas de esta divisa en el periodo comprendido entre el 16 de diciembre de 2019 y el 31 de enero de 2020, evitando de esta manera el periodo de turbulencia derivado de la pandemia por el COVID-19. / This paper explains the process through which the USD to MXN exchange rate is forecasted using metaheuristic techniques. The currency prices between January 2, 2018 and December 13, 2019 were used to carry out the forecast, later on these forecasts were compared with the observed values within the period between December 16, 2019 and January 1, 2020, avoiding the turbulent period caused by the COVID-19 pandemic

Suggested Citation

  • López Malpica, Gustavo & Hoyos Reyes, Luis Fernando & Rodríguez Benavides, Domingo & Mora Gutiérrez, Roman Anselmo, 2021. "Técnicas metaheurísticas para pronosticar el tipo de cambio del dólar de Estados Unidos con respecto al peso mexicano / Adaptation of Metaheuristic Techniques to Forecast the USD Dollar-MXN Peso Excha," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 11(2), pages 147-172, julio-dic.
    • Handle: RePEc:sfr:efruam:v:11:y:2021:i:2:p:147-172
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    File URL: http://estocastica.azc.uam.mx/index.php/re/article/view/153/226
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    More about this item

    Keywords

    metaheurísticas; paridad peso-dólar; algoritmo genético; colonia de hormigas; búsqueda tabú; recocido simulado; búsqueda en vecindades variables / Metaheuristics; peso-dollar parity; genetic algorithm; ant colony; tabu search; simulated annealing; variable neighborhood search;
    All these keywords.

    JEL classification:

    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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