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

Authors:
Yi Chen;Guangfeng Zhang
Affiliations:
School of Mechatronics Engineering, University of Electronic Science and Technology of China, Chengdu 611731, China and Department of Mechanical Engineering, University of Glasgow, Glasgow G12 8QQ ...;Department of Economics and Finance, School of Social Sciences, Brunel University, Uxbridge, England, UB8 3PH, UK and Department of Economics, University of Glasgow, Glasgow G12 8RT, UK
Venue:
Information Fusion
Year:
2013

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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. A simulation with a given initial conditions has been devised in MATLAB, and it is shown that the Mendel-GA can work valuably as a tool for the exchange rates estimation modelling with high-frequency data.