IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/51483.html
   My bibliography  Save this paper

Testing Currency Predictability Using An Evolutionary Neural Network Model

Author

Listed:
  • Andreou, A.
  • Georgakopoulos, E.
  • Likothanassis, S.
  • Zombanakis, George A.

Abstract

Two alternative learning approaches of a MLP Neural Network architecture are employed to forecast foreign currencies against the Greek Drachma, a Back-Propagation with a hyperbolic tangent activation scheme and an evolutionary trained model. Four major currency data series, namely the U. S. Dollar, the British Pound, the French Franc and the Deutsche Mark, are used in this forecasting experiment. Extended simulations have shown a high predictive ability, which is significantly better when using the actual rates compared to using the logarithmic returns of each series. The genetic algorithm performs best on FF and DM, while the back-propagation on USD and BP.

Suggested Citation

  • Andreou, A. & Georgakopoulos, E. & Likothanassis, S. & Zombanakis, George A., 1998. "Testing Currency Predictability Using An Evolutionary Neural Network Model," MPRA Paper 51483, University Library of Munich, Germany, revised 24 Mar 1998.
    • Handle: RePEc:pra:mprapa:51483
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/51483/1/MPRA_paper_51483.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Pavlos Karadeloglou & Christos Papazoglou & George Zombanakis, 1998. "Is the Exchange Rate an Effective Anti-inflationary Policy Instrument?," Ekonomia, Cyprus Economic Society and University of Cyprus, vol. 2(1), pages 47-72, Summer.
    2. Brissimis, Sophocles N. & Leventakis, John A., 1989. "The effectiveness of devaluation: A general equilibrium assessment with reference to Greece," Journal of Policy Modeling, Elsevier, vol. 11(2), pages 247-271.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. A. S. Andreou & G. A. Zombanakis & E. F. Georgopoulos & S. D. Likothanassis, 2000. "In search of a warning strategy against exchange-rate attacks: Forecasting tactics using artificial neural networks," Discrete Dynamics in Nature and Society, Hindawi, vol. 5, pages 1-17, January.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Andreou, A. S. & Zombanakis, George A. & Likothanassis, S. D. & Georgakopoulos, E., 1998. "Modeling And Forecasting Exchange-Rate Shocks," MPRA Paper 51539, University Library of Munich, Germany, revised 06 Jun 1998.
    2. A. S. Andreou & G. A. Zombanakis & E. F. Georgopoulos & S. D. Likothanassis, 2000. "In search of a warning strategy against exchange-rate attacks: Forecasting tactics using artificial neural networks," Discrete Dynamics in Nature and Society, Hindawi, vol. 5, pages 1-17, January.
    3. Andreou, Andreas S. & Zombanakis, George A. & Georgopoulos, E. F. & Likothanassis, S. D., 1998. "Forecasting Exchange-Rates via Local Approximation Methods and Neural Networks," MPRA Paper 17764, University Library of Munich, Germany.
    4. Mohsen Bahmani-Oskooee and Hanafiah Harvey, 2018. "The U.S. Trade Balance with Partners from Developing World: An Asymmetry Analysis of the J-Curve Effect," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 43(2), pages 29-44, June.
    5. Mohsen Bahmani-Oskooee & Ali Kutan, 2009. "The J-curve in the emerging economies of Eastern Europe," Applied Economics, Taylor & Francis Journals, vol. 41(20), pages 2523-2532.
    6. Bitros, George C. & Batavia, Bala & Nandakumar, Parameswar, 2016. "Economic crisis in the European periphery: An assessment of EMU membership and home policy effects based on the Greek experience," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 312-327.
    7. Mohsen Bahmani-Oskooee & Tatchawan Kanitpong, 2017. "Do exchange rate changes have symmetric or asymmetric effects on the trade balances of Asian countries?," Applied Economics, Taylor & Francis Journals, vol. 49(46), pages 4668-4678, October.
    8. Bitros, George C., 2012. "From Riches to Rags or What Went Wrong in Greece," MPRA Paper 43504, University Library of Munich, Germany.
    9. Huseyin Kalyoncu & Ilhan Ozturk & Seyfettin Artan & Kahraman Kalyoncu, 2009. "Devaluation and trade balance in Latin American countries," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 27(1), pages 115-128.
    10. Stamatopoulos Theodoros, 2005. "Prices and Exchange Rate of Hellenic Drachma (GRD), during 1981-," International Finance 0505013, University Library of Munich, Germany.
    11. Cem IŞIK & Magdalena RADULESCU & Aleksandra FEDAJEV, 2019. "The effects of exchange rate depreciations and appreciations on the tourism trade balance: the case of Spain," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 10, pages 221-237, June.
    12. Mao, R., 2018. "A Firm-Level Reappraisal of Real Exchange Rate Undervaluation in China s Agricultural Exports and Growth," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 276987, International Association of Agricultural Economists.
    13. Sophia Lazaretou, 2005. "Greek Monetary Economics in Retrospect: The Adventures of the Drachma," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 34(3), pages 331-370, November.
    14. John Paleologos & Grigorios Bitzis, 2006. "Assessing the Effectiveness of the Exchange Rate Movements on the Greek Current Account Deficit: A Cointegration Analysis," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 45-64.
    15. Kimbugwe, Hassan, 2006. "The bilateral J-Curve hypothesis between Turkey and her 9 trading partners," MPRA Paper 4254, University Library of Munich, Germany.
    16. Bahmani-Oskooee, Mohsen & Harvey, Hanafiah & Halicioglu, Ferda, 2021. "Does the real exchange rate play any role in the trade between Mexico and Canada? An asymmetric analysis," Economic Analysis and Policy, Elsevier, vol. 70(C), pages 1-21.
    17. Mohsen Bahmani-Oskooee & Charikleia Economidou & Gour Goswami, 2006. "Bilateral J-curve between the UK vis-a-vis her major trading partners," Applied Economics, Taylor & Francis Journals, vol. 38(8), pages 879-888.
    18. A. Arize & J. Malindretos, 1998. "The long-run and short-run effects of exchange-rate volatility on exports: The case of Australia and New Zealand," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 22(2), pages 43-56, June.
    19. Mohsen Bahmani-Oskooee, 1998. "Cointegration Approach to Estimate the Long-Run Trade Elasticities in LDCs," International Economic Journal, Taylor & Francis Journals, vol. 12(3), pages 89-96.
    20. Kalyvitis, Sarantis C., 1997. "Evaluating the real effects of devaluation expectations in Greece under alternative policies," Economic Modelling, Elsevier, vol. 14(2), pages 215-236, April.

    More about this item

    Keywords

    Currency Forecasting Artificial Neural Networks;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:51483. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.