Can Investors Benefit from Using Trading Rules Evolved by Genetic Programming? A Test of the Adaptive Efficiency of U.S. Stock Markets with Margin Trading Allowed

Created by W.Langdon from gp-bibliography.bib Revision:1.3973

@InCollection{Miles:2011:CMED,
  author =       "Stan Miles and Barry Smith",
  title =        "Can Investors Benefit from Using Trading Rules Evolved
                 by Genetic Programming? A Test of the Adaptive
                 Efficiency of U.S. Stock Markets with Margin Trading
                 Allowed",
  booktitle =    "Computational Methods in Economic Dynamics",
  publisher =    "Springer",
  year =         "2011",
  editor =       "Herbert Dawid and Willi Semmler",
  volume =       "13",
  series =       "Dynamic Modeling and Econometrics in Economics and
                 Finance",
  pages =        "77--108",
  keywords =     "genetic algorithms, genetic programming",
  isbn13 =       "978-3-642-16942-7",
  DOI =          "doi:10.1007/978-3-642-16943-4_5",
  abstract =     "This paper employs genetic programming to develop
                 trading rules, then uses these rules to test the
                 efficient markets hypothesis. Unlike most similar
                 research, the study both incorporates margin trading
                 and returns trading rules that are more than simple
                 buy-sell signals. Consistent with the standard
                 portfolio model, a trading rule is defined here as the
                 proportion of an investor's total wealth that is held
                 in the form of stocks; because margin trading is
                 allowed, the proportion can be greater than 1. The
                 results show that the 24 individual stock markets
                 studied were adaptively efficient between 1985 and
                 2005.",
}

Genetic Programming entries for Stan Miles J Barry Smith

Citations