Higher-Order Properties of the ‘Exchange Rate Dynamics Redux’ Model

In the ‘exchange rate dynamics redux’ model of Obstfeld and Rogoff (1995, Journal of Political Economy, 103(3), 624–660), the short-run and the long-run changes in the net foreign asset are the same. This equivalence is consistent with the first-order linear approximation of the model; but is inconsistent with the long-run consumption smoothing behavior. This paper extends the “redux” model by approximating the changes in the net foreign asset with the second-order perturbation method. This higher-order approximation illustrates that the equivalence does not hold and the difference between the short-run and the long-run changes is of the second order.      

基于神经网络的汇率预测

神经网络在理论上具有无限的函数逼近能力。它在预测领域可以取得很好的效果。利用神经网络的数值逼近与记忆功能，根据汇率历史观测数值，可以识别出汇率序列的内在模式。本文首先说明了利用神经网络进行汇率预测的原理和方法。然后着重探讨了神经网络汇率预测的重要步骤。最后根据不同的衡量指标对测试结果进行了分析。     

基于预报-校正法的汇率预测模型

神经网络已成为金融时间序列预测的一个有力工具,但有些设计因素对神经网络的预测效果有很大的影响,这些因素包括输入变量选择、网络的结构和训练数据量。提出了基于预报一校正方法的神经网络预测模型,并对不同大小的训练集的影响进行了实验研究。结果发现大的训练集有更好的预测效果,且该方法的预测精度要普遍高于单一神经网络所能达到的效果。     

基于副本交换的局部增强差分进化蛋白质结构从头预测方法

针对蛋白质高维构象空间搜索问题,提出一种基于副本交换的局部增强差分进化蛋白质结构从头预测方法(RLDE)。首先,采用基于知识的Rosetta粗粒度能量模型显著降低构象空间优化变量维数;其次,引入基于片段库知识的片段组装技术进一步减小构象搜索空间,有效避免搜索过程中的熵效应;此外,在每个副本层设置构象种群,采用差分进化算法对种群进行更新,然后利用Monte Carlo算法对种群做局部增强,以此得到全局和部分局部最优构象。综上,RLDE利用差分进化算法较强的全局搜索能力可以对构象空间进行有效的全局搜索;借助Monte Carlo算法局部搜索性能对构象空间局部极小区域进行更为充分的采样;副本交换策略保证了副本层中种群的多样性,同时能够增强算法跳出局部极小的能力,从而使得算法对构象空间的搜索能力进一步增强。15个目标蛋白测试结果表明,所提方法能够有效地对构象空间采样,得到高精度的近天然态蛋白质构象。     

Modeling Exchange Rate Behavior with a Genetic Algorithm

Motivated by empirical evidence, we construct a model whereheterogeneous, boundedly-rational market participants rely on a mix of technical and fundamental trading rules. The rules are applied according to a weighting scheme. Traders evaluate and update their mix of rules by genetic algorithm learning. Even for fundamental shocks with a low probability, the interaction between the traders produces a complex behavior of exchange rates. Our model simultaneously produces several stylized facts like high volatility, unit roots in the exchange rates, a fuzzy relationship between news and exchange-rate movements, cointegration between the exchange rate and its fundamental value, fat tails for returns, a declining kurtosis under time aggregation, weak evidence of mean reversion, and strong evidence of clustering in both volatility and trading volume.     

改进的灰色系统理论在汇率预测中的应用

研究汇率预测精度问题,汇率的变化受到政治、经济、物价和国民收入等多因素影响,存在非线性系统特征,波动性大.传统线性的预测方法预测精度和准确度低.为了解决以上问题,提出了一种改进的灰色系统理论汇率预测算法,根据灰色理论预测,首先建立了外汇汇率预测的GM(1,1)预测模型,同时并在此基础上建立改进的灾变灰色预测与回归预测的...     

A Genetic Programming Approach for EUR/USD Exchange Rate Forecasting and Trading

The purpose of this article is to present a novel genetic programming trading technique in the task of forecasting the next day returns when trading the EUR/USD exchange rate based on the exchange rates of historical data. Aiming at testing its effectiveness, we benchmark the forecasting performance of our genetic programming implementation with three traditional strategies (naive strategy, MACD, and a buy & hold strategy) plus a hybrid evolutionary artificial neural network approach. The proposed genetic programming technique was found to demonstrate the highest trading performance in terms of annualized return and information ratio when compared to all other strategies which have been used. When more elaborate trading techniques, such as leverage, were combined with the examined models, the genetic programming approach still presented the highest trading performance. To the best of our knowledge, this is the first time that genetic programming is applied in the problem of effectively modeling and trading with the EUR/USD exchange rate. Our application now offers practitioners with an effective and extremely promising set of results when forecasting in the foreign exchange market. The developed genetic programming environment is implemented using the C++ programming language and includes a variation of the genetic programming algorithm with tournament selection.     

The European Exchange Rate Mechanism as a macroecotiomic destabilizer

For over a decade, the ERM survived in defiance of gloomy predictions that its fate would be similar to that of'the Snake' in the 1970s, which disintegrated a few years after the collapse of Bretton Woods. It survived even the abolition of exchange controls in 1990. But finally it broke down in the face of a series of large shocks—a fluctuating dollar, German reunification, and the debate over the Maastricht Treaty. This paper uses stochastic simulation of the Liverpool World Model to examine the weaknesses in the ERM and compares its stochastic performance with that of floating exchange rates. It argues that European monetary policy should return to domestic monetary targeting within floating exchange rates. It finds that cooperation in European monetary policy is delivered with least stochastic disturbance within such a regime.     

基于径向基神经网络的人民币汇率预测

准确预测汇率对经济发展的各方面都有着重要影响。首先说明了径向基神经网络运作的基本原理,探讨了径向基神经网络汇率预测的重要步骤。接着利用径向基神经网络的数值逼近与记忆功能,根据汇率历史观测数值,对人民币的汇率的行为进行预测。实验结果表明,将径向基神经网络用于人民币的预测是可行的和有效的。     

基于相空间重构的汇率预测研究

汇率在宏观经济政策、商业经营和个人决策制定上的作用越来越重要,使其成为了研究的热点.根据混沌动力系统的相空间延迟坐标重构理论,基于支持向量机的强大的非线性映射能力,提出了一种基于支持向量机回归的超短期汇率预测方法,并建立了模型,对美元港币的即时汇率进行了实证计算,且与BP神经网络模型进行了比较.结果表明,所建立的模型能很好地跟踪即时汇率的变化趋势,预测精度比较高且算法运行速度比BP神经网络模型快得多.     

基于相空间重构的汇率预测研究

汇率在宏观经济政策、商业经营和个人决策制定上的作用越来越重要,使其成为了研究的热点。根据混沌动力系统的相空间延迟坐标重构理论,基于支持向量机的强大的非线性映射能力,提出了一种基于支持向量机回归的超短期汇率预测方法,并建立了模型,对美元港币的即时汇率进行了实证计算,且与BP神经网络模型进行了比较。结果表明,所建立的模型能很好地跟踪即时汇率的变化趋势,预测精度比较高且算法运行速度比BP神经网络模型快得多。     

基于模糊方位编码和神经网络的汇率走势预测

汇率的波动受到多种不确定因素的影响，很难找到一种模型精确有效地刻画汇率波动与其影响凼素之间存在的联系。该文提出了采用改进的模糊方位编码疗法表示汇率走势，然后采用神经网络预测汇率走势的方法。通过实际系统运行，结果表明，该方法具有较岛的预测准确度，并且能够得到客户更关心的较高的理论获益度。     

Searching for revolution in structural computing

The structural computing paradigm has been described as one that holds significant promise and potential for the developers of both applications and infrastructure services. At this stage in its development, however, structural computing can be viewed mainly as an evolutionary progression of research in the hypermedia field rather than as the revolutionary force it was anticipated to be. The field of structural computing is still a new one though. It may still possess revolutionary potential that has so far gone untapped. In order for its revolutionary potential to be realized, however, research is needed that focuses on the fundamental ideas that define and distinguish the structural computing field. Only through an examination and exploration of its essential features can the revolutionary potential of structural computing be assessed.     

Searching for Black Holes in Subways

Current mobile agent algorithms for mapping faults in computer networks assume that the network is static. However, for large classes of highly dynamic networks (e.g., wireless mobile ad hoc networks, sensor networks, vehicular networks), the topology changes as a function of time. These networks, called delay-tolerant, challenged, opportunistic, etc., have never been investigated with regard to locating faults. We consider a subclass of these networks modeled on an urban subway system. We examine the problem of creating a map of such a subway. More precisely, we study the problem of a team of asynchronous computational entities (the mapping agents) determining the location of black holes in a highly dynamic graph, whose edges are defined by the asynchronous movements of mobile entities (the subway carriers). We determine necessary conditions for the problem to be solvable. We then present and analyze a solution protocol; we show that our algorithm solves the fault mapping problem in subway networks with the minimum number of agents possible, k=??+1, where ?? is the number of carrier stops at black holes. The number of carrier moves between stations required by the algorithm in the worst case is $O(k \cdot n_{C}^{2}\cdot l_{R} + n_{C}\cdot l_{R}^{2})$ , where n _C is the number of subway trains, and l _R is the length of the subway route with the most stops. We establish lower bounds showing that this bound is tight. Thus, our protocol is both agent-optimal and move-optimal.     

Searching for points-to analysis

The points-to analysis problem is to find the pointer relationships that could arise during program execution. Many points-to analysis algorithms exist, each making a particular trade off between cost of the analysis and precision of the results. In this paper, we show how points-to analysis algorithms can be defined as transformed versions of an exact algorithm. We present a set of program transformations over a general program model and use them to define some existing points-to analysis algorithms. Doing so makes explicit the approximations involved in these algorithms. We also show how the transformations can be used to define new points-to analysis algorithms. Our transformations are generic and may be useful in the design of other program analysis algorithms.     

Challenges for Federated Searching

ABSTRACT

This article looks at the current capabilities of federated search software applications which search multiple full text e-journal databases. It also considers the developing capability to search journal content over the World Wide Web. Advances in federated searching are considered, such as standardized XML based searching, subject subdivided searching, linking services and Web indexing of formerly proprietary content. Despite these advances, federated searching of e-content so far falls short of its potential and of user expectations. The article looks at developments which are still needed to create a unified cross-searchable electronic content environment out of the current collection of separate e-content sources. It explores a number of challenges which must be overcome by e-content and software vendors, network developers and libraries to allow federated search and access to rise to a new level well beyond current limited capabilities. doi:10.1300/J136v12n03_08     

Searching for computational creativity

Boden’s^1,2) philosophical account of creativity has been criticised on the grounds that it does not properly capture some aspects of creative situations.⁵⁾ Wiggins¹³⁾ has presented a formalisation of Boden’s account, which allows such issues to be examined more precisely. We explore the relationship between traditional AI search methods and Boden’s abstraction of creative behaviour, and revisit Bundy’s argument in the context of that exploration.     

Caching for Web Searching

Abstract. We study Web Caching when the input sequence is a depth first search traversal of some tree. There are at least two good motivations for investigating tree traversal as a search technique on the WWW: First, empirical studies of people browsing and searching the WWW have shown that user access patterns commonly are nearly depth first traversals of some tree. Secondly (as we will show in this paper), the problem of visiting all the pages on some WWW site using anchor clicks (clicks on links) and back button clicks—by far the two most common user actions—reduces to the problem of how best to cache a tree traversal sequence (up to constant factors). We show that for tree traversal sequences the optimal offline strategy can be computed efficiently. In the bit model, where the access time of a page is proportional to its size, we show that the online algorithm LRU is (1 + 1/ɛ) -competitive against an adversary with unbounded cache as long as LRU has a cache of size at least (1+ ɛ) times the size of the largest item in the input sequence. In the general model, where pages have arbitrary access times and sizes, we show that in order to be constant competitive, any online algorithm needs a cache large enough to store Ω(log n) pages; here n is the number of distinct pages in the input sequence. We provide a matching upper bound by showing that the online algorithm Landlord is constant competitive against an adversary with an unbounded cache if Landlord has a cache large enough to store the Ω(log n) largest pages. This is further theoretical evidence that Landlord is the ``right' algorithm for Web Caching.     

Searching for gapped palindromes

We study the problem of finding, in a given word, all maximal gapped palindromes verifying two types of constraints, that we call long-armed and length-constrained   palindromes. For each of the two classes, we propose an algorithm that runs in time O(n+S)$O(n+S)$ for a constant-size alphabet, where S$S$ is the number of output palindromes. Both algorithms can be extended to compute biological gapped palindromes within the same time bound.