Taiwan Stock Forecasting with the Genetic Programming $\ast$

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@Misc{oai:CiteSeerX.psu:10.1.1.299.770,

• title = "Taiwan Stock Forecasting with the Genetic Programming {$\ast$}",
• author = "Siao-ming Jhou and Chang-biau Yang and Hung-hsin Chen",
• year = "2013",
• month = jul # "~19",
• keywords = "genetic algorithms, genetic programming, taiwan stock exchange capitalisation weighted stock index, annualised return, feature",
• abstract = "---In this paper, we propose a model for generating profitable trading strategies for Taiwan stock market. Our model applies the genetic programming (GP) to obtain profitable and stable trading strategies in the training period, and then the strategies are applied to trade the stock in the testing period. The variables for GP include 6 basic information and 25 technical indicators. We perform five experiments on Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) from 2000/9/14 to 2010/5/21. In these experiments, we find that the trading strategies generated by GP with two arithmetic trees have more stable returns. In addition, if we obtain the trading strategies in three historical periods which are the most similar to the current training period, we are able to earn higher return in the testing period. In each experiment, 24 cases are considered. The testing period is rolling updated with the sliding window scheme. The best cumulative return 166.57percent occurs when 545-day training period pairs with 365-day testing period, which is much higher than the buy-and-hold strategy.",
• annote = "The Pennsylvania State University CiteSeerX Archives",
• bibsource = "OAI-PMH server at citeseerx.ist.psu.edu",
• language = "en",
• oai = "oai:CiteSeerX.psu:10.1.1.299.770",
• rights = "Metadata may be used without restrictions as long as the oai identifier remains attached to it.",
• URL = "http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.299.770",
• URL = "http://par.cse.nsysu.edu.tw/~cbyang/person/publish/c11stock_gp.pdf",
• notes = "NOT in IEEE xplor or table of contents and another paper has overlapping page numbers",

}

Genetic Programming entries for Siao-ming Jhou Chang-biau Yang Hung-Hsin Chen

Citations