Abstract
This work presents an evolutionary solution that aims to test the influence of the choice of numeraire on financial time series modeling. In particular, the method used in such a problem is to apply a very powerful natural computing analysis tool, namely evolutionary neural networks, based on the joint evolution of the topology and the connection weights together with a novel similarity-based crossover, to a couple of very liquid financial time series expressed in their trading currency and several alternative numeraires like gold, silver, and a currency like the euro, which is intended to be stable ‘by design’, and compare the results.
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Azzini, A., Dragoni, M., Tettamanzi, A.G.B. (2011). Using Evolutionary Neural Networks to Test the Influence of the Choice of Numeraire on Financial Time Series Modeling. In: Di Chio, C., et al. Applications of Evolutionary Computation. EvoApplications 2011. Lecture Notes in Computer Science, vol 6625. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-20520-0_9
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DOI: https://doi.org/10.1007/978-3-642-20520-0_9
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