Modeling International Short-Term Capital Flow with Genetic Programming

Created by W.Langdon from gp-bibliography.bib Revision:1.8129

@InProceedings{Shu-HengChen:2003:CINC,

• author = "Shu-Heng Chen and Tzu-Wen Kuo",
• title = "Modeling International Short-Term Capital Flow with Genetic Programming",
• booktitle = "Proceedings of the Sixth International Conference on Computational Intelligence and Natural Computing",
• year = "2003",
• address = "Embassy Suites Hotel and Conference Center, Cary, North Carolina USA",
• month = sep # " 26-30",
• keywords = "genetic algorithms, genetic programming",
• URL = "http://nccur.lib.nccu.edu.tw/handle/140.119/23210",
• URL = "http://nccur.lib.nccu.edu.tw/bitstream/140.119/23210/1/Ac92092%5B1%5D.pdf",
• abstract = "In this paper, a non-deterministic (portfolio-based) finite-state automaton is proposed to generalise the current financial trading applications of genetic programming from single risky asset to multi risky assets. The GP-evolved trading rules are tested under various settings with respect to search intensity, genetic portfolios, and validating parameters. The rules are compared with performance of a buy and hold strategy in a context of international capital flow using data from Taiwan, the U.S., Hong Kong, Japan and the U.K. The GP are evaluated by using both the mean rule and the majority rule. However, by and large, it is found that GP was outperformed by the buy-and-hold strategy in both cases.",
• notes = "http://axon.cs.byu.edu/Dan/cinc03.html/index.html/

  Broken Jan 2013 http://www.ee.duke.edu/JCIS/

  National Chengchi University, Taiwan",

}

Genetic Programming entries for Shu-Heng Chen Tzu-Wen Kuo

Citations