Co-evolution vs. Neural Networks; An Evaluation of UK Risky Money

Alicia Gazely, Jane Binner and Graham Kendall

No 258, Computing in Economics and Finance 2004 from Society for Computational Economics

Abstract: The performance of a "capital certain" Divisia index constructed using the same components included in the Bank of England"s MSI plus national savings; a "risky" Divisia index constructed by adding bonds, shares and unit trusts to the list of assets included in the first index; and a capital certain simple sum index for comparison is compared. nce suggests that co-evolutionary strategies are superior to neural networks in the majority of cases. The risky money index performs at least as well as the Bank of England Divisia index when combined with interest rate information. Notably, the provision of long term interest rates improves the out-of-sample forecasting performance of the Bank of England Divisia index in all cases examined

Keywords: Evolutionary Strategies; Risk Adjusted Divisia; Inflation; Neural Networks (search for similar items in EconPapers)
JEL-codes: C45 E51 (search for similar items in EconPapers)
Date: 2004-08-11
New Economics Papers: this item is included in nep-cmp and nep-ets
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