Forecasting the Prices of TAIEX Options by Using Genetic Programming and Support Vector Regression

Created by W.Langdon from gp-bibliography.bib Revision:1.4420

  author =       "Chih-Ming Hsu and Ying-Chi Fu and Yu-Chun Liu and 
                 Chun-Yi Peng",
  title =        "Forecasting the Prices of TAIEX Options by Using
                 Genetic Programming and Support Vector Regression",
  booktitle =    "Proceedings of the International MultiConference of
                 Engineers and Computer Scientists, IMECS 2015",
  year =         "2015",
  editor =       "S. I. Ao and Oscar Castillo and Craig Douglas and 
                 David Dagan Feng and Jeong-A Lee",
  volume =       "1",
  pages =        "57--62",
  address =      "Hong Kong",
  month =        "18-20 " # mar,
  publisher =    "International Association of Engineers",
  keywords =     "genetic algorithms, genetic programming, options,
                 support vector regression, Black-Scholes model",
  volume =       "2215",
  isbn13 =       "978-988-19253-2-9",
  ISSN =         "2078-0958; 2078-0966",
  bibsource =    "OAI-PMH server at",
  issue =        "1",
  language =     "English",
  oai =          "",
  URL =          "",
  size =         "6 pages",
  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.",
  notes =        "",

Genetic Programming entries for Chih-Ming Hsu Ying-Chi Fu Yu-Chun Liu Chun-Yi Peng