Detecting Structural Changes Using Genetic Programming with an Application to the Greater-China Stock Market

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

@InProceedings{Zhang;1999:sfi,
  author =       "X. B. Zhang and Y. K. Tse and W. S. Chan",
  title =        "Detecting Structural Changes Using Genetic Programming
                 with an Application to the Greater-China Stock Market",
  booktitle =    "Statistics and Finance: An Interface",
  year =         "1999",
  editor =       "W. K. Li W. S. Chan and H. Tong",
  pages =        "370--384",
  address =      "The University of Hong Kong",
  publisher_address = "London",
  month =        "4-8 " # jul,
  publisher =    "Imperial College Press",
  keywords =     "genetic algorithms, genetic programming",
  DOI =          "doi:10.1142/9781848160156_0022",
  abstract =     "Structural changes usually refer to the changes in
                 some parameters or in the structure of a chosen model
                 that is postulated to describe the operation of a data
                 generating process. However, the structure of the
                 underlying data generating process may not necessarily
                 be equivalent to a model. It may be a pattern or an
                 operating mechanism identifiable by certain cognitive
                 processes. Accordingly, structural changes are changes
                 to the operating mechanism of the underlying system.
                 This paper considers the application of genetic
                 programming to the cognition of the operating mechanism
                 of a dynamic system. Based on the knowledge accumulated
                 in the cognition process, a diagnostic statistic is
                 defined to detect structural changes in the system.
                 This approach is model free since it is performed
                 without reference to model specification. The
                 effectiveness of the model-free approach is empirically
                 illustrated through an application to four stock
                 markets, namely the Greater-China markets.",
  notes =        "http://eproceedings.worldscinet.com/9781848160156/toc.shtml

                 http://books.google.com/books?vid=ISBN1860942377

                 ",
}

Genetic Programming entries for Xibin (Bill) Zhang Yiu Kuen Tse W S Chan

Citations