A Genetic Programming approach to Model International Short-term Capital Flow
Created by W.Langdon from
gp-bibliography.bib Revision:1.8098
- @InCollection{TinaYu:2004:,
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author = "Tina Yu and Shu-Heng Chen and Tzu-Wen Kuo",
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title = "A Genetic Programming approach to Model International
Short-term Capital Flow",
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booktitle = "Applications of Artificial Intelligence in Finance and
Economics",
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publisher = "Jai Pr",
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year = "2004",
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editor = "Jane M. Binner and Graham Kendall and Shu-Heng Chen",
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volume = "19",
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series = "Advances in Econometrics",
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chapter = "2",
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pages = "45--70",
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keywords = "genetic algorithms, genetic programming, ADF",
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ISBN = "0-7623-1150-9",
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URL = "http://www.cs.mun.ca/~tinayu/Publications_files/Econometrics.pdf",
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URL = "http://www.amazon.com/exec/obidos/ASIN/0762311509/qid%3D1110315452/sr%3D11-1/ref%3Dsr%5F11%5F1/002-0089868-2466424",
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broken = "http://www.sciencedirect.com/science/article/B75F0-4DW2XG4-5/2/091cf27244b360ecf18b04ca79a1d1ad",
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DOI = "doi:10.1016/S0731-9053(04)19002-6",
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size = "26 pages",
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abstract = "We model international short-term capital flow by
identifying technical trading rules in short-term
capital markets using Genetic Programming (GP). The
simulation results suggest that the international
short-term markets was quite efficient during the
period of 1997-2002, with most GP generated trading
strategies recommending buy-and-hold on one or two
assets. The out-of-sample performance of GP trading
strategies varies from year to year. However, many of
the strategies are able to forecast Taiwan stock market
down time and avoid making futile investment.
Investigation of Automatically Defined Functions shows
that they do not give advantages or disadvantages to
the GP results.",
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notes = "may be available via Elsevier?",
- }
Genetic Programming entries for
Tina Yu
Shu-Heng Chen
Tzu-Wen Kuo
Citations