Forecasting the Prices of TAIEX Options by Using Genetic Programming and Support Vector Regression
Created by W.Langdon from
gp-bibliography.bib Revision:1.7975
- @InProceedings{Hsu:2015:IMECS,
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author = "Chih-Ming Hsu and Ying-Chi Fu and Yu-Chun Liu and
Chun-Yi Peng",
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title = "Forecasting the Prices of TAIEX Options by Using
Genetic Programming and Support Vector Regression",
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booktitle = "Proceedings of the International MultiConference of
Engineers and Computer Scientists, IMECS 2015",
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year = "2015",
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editor = "S. I. Ao and Oscar Castillo and Craig Douglas and
David Dagan Feng and Jeong-A Lee",
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volume = "1",
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pages = "57--62",
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address = "Hong Kong",
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month = "18-20 " # mar,
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publisher = "International Association of Engineers",
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keywords = "genetic algorithms, genetic programming, options,
support vector regression, SVM, Black-Scholes model",
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volume = "2215",
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isbn13 = "978-988-19253-2-9",
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ISSN = "2078-0958; 2078-0966",
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bibsource = "OAI-PMH server at doaj.org",
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issue = "1",
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language = "English",
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oai = "oai:doaj.org/article:0d2a7c2d6b6843f498c74cdee8ea0d64",
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URL = "http://www.iaeng.org/publication/IMECS2015/IMECS2015_pp57-62.pdf",
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size = "6 pages",
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abstract = "The Black-Scholes (B-S) model is the traditional tool
for giving a theoretical estimate of the price of
European-style options. However, the basic assumptions
on the assets and market made in the B-S model are
ideal. Furthermore, a lot of factors which might affect
the prices of options have not been considered in the
B-S model. In this study, the genetic programming (GP)
and support vector regression (SVR) are applied to
forecast the prices of stock options by using the six
basic factors in the B-S model and the other factors,
such as the opening and closing prices, highest and
lowest prices, trading volume, open interest etc., as
the predictors. The performance of GP and SVR
forecasting models are also compared to the B-S pricing
model. The feasibility and effectiveness of the
proposed approach are demonstrated by forecasting the
closing prices of Taiwan Stock Exchange Capitalization
Weighted Stock Index Options (TAIEX Options) from April
1, 2010 to March 29, 2013.",
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notes = "http://www.iaeng.org/publication/IMECS2015/
Department of Business Administration, Minghsin
University of Science and Technology, Hsinfong, Hsinchu
304, Taiwan",
- }
Genetic Programming entries for
Chih-Ming Hsu
Ying-Chi Fu
Yu-Chun Liu
Chun-Yi Peng
Citations