A Genetic Programming approach to Model International Short-term Capital Flow

Created by W.Langdon from gp-bibliography.bib Revision:1.8051

@InCollection{TinaYu:2004:,

• author = "Tina Yu and Shu-Heng Chen and Tzu-Wen Kuo",
• title = "A Genetic Programming approach to Model International Short-term Capital Flow",
• booktitle = "Applications of Artificial Intelligence in Finance and Economics",
• publisher = "Jai Pr",
• year = "2004",
• editor = "Jane M. Binner and Graham Kendall and Shu-Heng Chen",
• volume = "19",
• series = "Advances in Econometrics",
• chapter = "2",
• pages = "45--70",
• keywords = "genetic algorithms, genetic programming, ADF",
• ISBN = "0-7623-1150-9",
• URL = "http://www.cs.mun.ca/~tinayu/Publications_files/Econometrics.pdf",
• URL = "http://www.amazon.com/exec/obidos/ASIN/0762311509/qid%3D1110315452/sr%3D11-1/ref%3Dsr%5F11%5F1/002-0089868-2466424",
• broken = "http://www.sciencedirect.com/science/article/B75F0-4DW2XG4-5/2/091cf27244b360ecf18b04ca79a1d1ad",
• DOI = "doi:10.1016/S0731-9053(04)19002-6",
• size = "26 pages",
• 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.",
• notes = "may be available via Elsevier?",

}

Genetic Programming entries for Tina Yu Shu-Heng Chen Tzu-Wen Kuo

Citations