Exchange rates determination based on genetic algorithms using Mendel’s principles: investigation and estimation under uncertainty

Yi Chen, Guangfeng Zhang

Research output: Contribution to journalArticlepeer-review

Abstract

A genetic algorithm using Mendel’s principle (Mendel-GA), in which the random assignment of alleles from parents to offsprings is implied by the Mendel genetic operator, is proposed for the exchange rates determination problem. Besides the traditional genetic operators of selection, crossover, and mutation, Mendel’s principles are included, in the form of an operator in the genetic algorithm’s evolution process. In the quantitative analysis of exchange rates determination, the Mendel-GA examines the exchange rate fluctuations at the short-run horizon. Specifically, the aim is to revisit the determination of high-frequency exchange rates and examine the differences between the method of genetic algorithms and that of the traditional estimation methods.
Original languageEnglish
Pages (from-to)327-333
Number of pages7
JournalInformation Fusion
Volume14
Issue number3
DOIs
Publication statusPublished - Jul 2013

Keywords

  • genetic algorithm
  • Mendel’s principle
  • uncertainty
  • estimation
  • high-frequency
  • exchange rates
  • regression analysis

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