- author = "X. B. Zhang and Y. K. Tse and W. S. Chan",
- title = "Detecting Structural Changes Using Genetic Programming with an Application to the Greater-China Stock Market",
- booktitle = "Statistics and Finance: An Interface",
- year = "1999",
- editor = "W. K. Li W. S. Chan and H. Tong",
- pages = "370--384",
- address = "The University of Hong Kong",
- publisher_address = "London",
- month = "4-8 " # jul,
- publisher = "Imperial College Press",
- keywords = "genetic algorithms, genetic programming",
-
DOI = "
doi:10.1142/9781848160156_0022",
- abstract = "Structural changes usually refer to the changes in some parameters or in the structure of a chosen model that is postulated to describe the operation of a data generating process. However, the structure of the underlying data generating process may not necessarily be equivalent to a model. It may be a pattern or an operating mechanism identifiable by certain cognitive processes. Accordingly, structural changes are changes to the operating mechanism of the underlying system. This paper considers the application of genetic programming to the cognition of the operating mechanism of a dynamic system. Based on the knowledge accumulated in the cognition process, a diagnostic statistic is defined to detect structural changes in the system. This approach is model free since it is performed without reference to model specification. The effectiveness of the model-free approach is empirically illustrated through an application to four stock markets, namely the Greater-China markets.",
-
notes = "http://eproceedings.worldscinet.com/9781848160156/toc.shtml
http://books.google.com/books?vid=ISBN1860942377
",
