Chinese Stock Market Efficiency Testing Based on Genetic Programming
Created by W.Langdon from
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- @Article{DBLP:journals/jsjkx/WangC16a,
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author = "Hongxia Wang and Bo Cao",
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title = "Chinese Stock Market Efficiency Testing Based on
Genetic Programming",
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title2 = "{\unicode{22522}}{\unicode{20110}}{\unicode{36951}}{\unicode{20256}}{\unicode{32534}}{\unicode{31243}}{\unicode{30340}}{\unicode{20013}}{\unicode{22269}}{\unicode{32929}}{\unicode{31080}}{\unicode{24066}}{\unicode{22330}}{\unicode{26377}}{\unicode{25928}}{\unicode{24615}}{\unicode{26816}}{\unicode{39564}}",
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journal = "Computer Science",
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journal2 = "{\unicode{35745}}{\unicode{31639}}{\unicode{26426}}{\unicode{31185}}{\unicode{23398}}",
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volume = "43",
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number = "{Z6}",
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pages = "538--541",
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year = "2016",
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keywords = "genetic algorithms, genetic programming, Market
Efficiency, Chinese stock market",
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ISSN = "1002-137X",
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URL = "https://doi.org/10.11896/j.issn.1002-137X.2016.6A.128",
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DOI = "doi:10.11896/j.issn.1002-137X.2016.6A.128",
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timestamp = "Fri, 27 Mar 2020 00:00:00 +0100",
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biburl = "https://dblp.org/rec/journals/jsjkx/WangC16a.bib",
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bibsource = "dblp computer science bibliography, https://dblp.org",
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size = "4 pages",
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abstract = "There is a contradiction between the modern capital
market theory and the financial investment practice.And
the contradiction is about the effective market
hypothesis and the technical analysis.The use of the
popular technology trading rules to examine the
effectiveness of the stock market may lead to two types
of conclusion deviation.The tree structure is used to
represent the candidate solutions in genetic
programming which can well describe the technical
trading rules.The genetic programming algorithm is used
to generate technical trading strategy in this
paper.The strategy is used to test Shanghai indexes and
five stocks in the Shanghai and Shenzhen stock markets.
The back test results show that genetic programming
generates the best technical trading strategy with
significant excess profit compared with buy-and-hold
strategy and the usual popular technical
indicator.Therefore,the conclusion can be made that
Chinese stock market has not achieved weak-form
efficiency.",
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notes = "In Chinese",
- }
Genetic Programming entries for
Hongxia Wang
Bo Cao
Citations