Modeling International Short-Term Capital Flow with Genetic Programming

Created by W.Langdon from gp-bibliography.bib Revision:1.3872

@InProceedings{Shu-HengChen:2003:CINC,
  author =       "Shu-Heng Chen and Tzu-Wen Kuo",
  title =        "Modeling International Short-Term Capital Flow with
                 Genetic Programming",
  booktitle =    "Proceedings of the Sixth International Conference on
                 Computational Intelligence and Natural Computing",
  year =         "2003",
  address =      "Embassy Suites Hotel and Conference Center, Cary,
                 North Carolina USA",
  month =        sep # " 26-30",
  keywords =     "genetic algorithms, genetic programming",
  URL =          "http://nccur.lib.nccu.edu.tw/handle/140.119/23210",
  URL =          "http://nccur.lib.nccu.edu.tw/bitstream/140.119/23210/1/Ac92092%5B1%5D.pdf",
  abstract =     "In this paper, a non-deterministic (portfolio-based)
                 finite-state automaton is proposed to generalise the
                 current financial trading applications of genetic
                 programming from single risky asset to multi risky
                 assets. The GP-evolved trading rules are tested under
                 various settings with respect to search intensity,
                 genetic portfolios, and validating parameters. The
                 rules are compared with performance of a buy and hold
                 strategy in a context of international capital flow
                 using data from Taiwan, the U.S., Hong Kong, Japan and
                 the U.K. The GP are evaluated by using both the mean
                 rule and the majority rule. However, by and large, it
                 is found that GP was outperformed by the buy-and-hold
                 strategy in both cases.",
  notes =        "http://axon.cs.byu.edu/Dan/cinc03.html/index.html/

                 Broken Jan 2013 http://www.ee.duke.edu/JCIS/

                 National Chengchi University, Taiwan",
}

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

Citations