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Exchange Rate Forecasting Using Multi-Expression Programming

JIA Guang-feng1,REN Ai-hua2,WU Qiang1,CHEN Yue-hui1(1.School of Information Science and Engineering,University of Jinan,Jinan 250022,China;2.Shandong Education Recruit Students Examination College,Jinan 250011,China)  
Forecasting exchange rate is an uncertain,nonlinear and unstable time-serial prediction problem,which has no satisfying results using traditional method.Multi-Expression programming(MEP) is a new Genetic Programming(GP) variant that uses a linear representation of chromosomes.In this paper a clonal selection-based MEP model for forecasting three major international currency exchange rates is proposed.Empirical results indicate that the proposed method is better than the conventional artificial neural network and genetic programming forecasting models.
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