Testing market imperfections via genetic programming

Created by W.Langdon from gp-bibliography.bib Revision:1.3949

@PhdThesis{Jansen:thesis,
  author =       "Sebastian Jansen",
  title =        "Testing market imperfections via genetic programming",
  school =       "Institut fur Financial Management, Universitaet
                 Hohenheim",
  year =         "2011",
  type =         "Dr. oec",
  address =      "Bonn, Germany",
  month =        "17 " # mar,
  keywords =     "genetic algorithms, genetic programming, Market
                 Efficiency, Excess Returns",
  URL =          "http://opus.ub.uni-hohenheim.de/volltexte/2011/588/",
  URL =          "http://opus.ub.uni-hohenheim.de/volltexte/2011/588/pdf/Dissertation_Testing_Market_Imperfections_via_Genetic_Programming_Sebastian_Jansen.pdf",
  size =         "161 pages",
  abstract =     "The thesis checks the validity of the efficient
                 markets hypothesis focusing on stock markets. Technical
                 trading rules are generated by using an evolutionary
                 optimisation algorithm (Genetic Programming) based on
                 training samples. The trading rules are subsequently
                 applied to data samples unknown to the algorithm
                 beforehand. The benchmark strategy consists of a
                 classic buy-and-hold strategy in the DAX and the Hang
                 Seng. The trading rules generally fail at consistently
                 beating the benchmark thus indicating that market
                 efficiency holds.",
  abstract =     "Gegenstand der Dissertation ist die Uberpruefung von
                 Markteffizienz auf Aktienmaerkten. Hierzu werden
                 technische Handelsregeln mit Hilfe eines evolutionaeren
                 Optimierungsalgorithmus (Genetic Programming) anhand
                 von Trainingsdaten erlernt und anschliessend auf eine
                 unbekannte Zeitreihe angewandt. Als Benchmark dient
                 eine klassische buy-and-hold Strategie im DAX und Hang
                 Seng. Es zeigt sich, dass die mittels Genetic
                 Programming generierten Handelsstrategien den Benchmark
                 auf risikoadjustierter Basis nicht durchgaengig
                 schlagen konnen und somit die These effizienter Maerkte
                 fuer den DAX und den Hang Seng gueltig ist.",
  notes =        "in English. Supervisor Prof. Dr. Hans-Peter Burghof",
}

Genetic Programming entries for Sebastian Jansen

Citations