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

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

@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",
  URL =          "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