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In search of a warning strategy against exchange-rate attacks: Forecasting tactics using artificial neural networks. (91Bxx.) (English) Zbl 1109.91347

The contribution that this paper aspires to make is the prediction of an oncoming attack against the domestic currency, something that is expected o increase the possibilities of successful hedging by the authorities. The analysis has focused on the Greek Drachma, which has suffered a series of attacks during the past few years, thus offering a variety of such ”shock” incidents accompanied by frequent interventions by the authorities. The prediction exercised here is performed in a discrete dynamics environment, based on the daily fluctuations of the interbank overnight interest rate, using artificial neural networks enhanced by genetic algorithms. The results obtained on te basis of the forecasting performance have been considered most encouraging, in providing a successful prediction of an oncoming attack against the domestic currency.

MSC:

91B26 Auctions, bargaining, bidding and selling, and other market models
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