Taiwan Stock Forecasting with the Genetic Programming $\ast$

Created by W.Langdon from gp-bibliography.bib Revision:1.4216

  title =        "Taiwan Stock Forecasting with the Genetic Programming
  author =       "Siao-ming Jhou and Chang-biau Yang and 
                 Hung-hsin Chen",
  year =         "2013",
  month =        jul # "~19",
  keywords =     "genetic algorithms, genetic programming, taiwan stock
                 exchange capitalisation weighted stock index,
                 annualised return, feature",
  abstract =     "---In this paper, we propose a model for generating
                 profitable trading strategies for Taiwan stock market.
                 Our model applies the genetic programming (GP) to
                 obtain profitable and stable trading strategies in the
                 training period, and then the strategies are applied to
                 trade the stock in the testing period. The variables
                 for GP include 6 basic information and 25 technical
                 indicators. We perform five experiments on Taiwan Stock
                 Exchange Capitalization Weighted Stock Index (TAIEX)
                 from 2000/9/14 to 2010/5/21. In these experiments, we
                 find that the trading strategies generated by GP with
                 two arithmetic trees have more stable returns. In
                 addition, if we obtain the trading strategies in three
                 historical periods which are the most similar to the
                 current training period, we are able to earn higher
                 return in the testing period. In each experiment, 24
                 cases are considered. The testing period is rolling
                 updated with the sliding window scheme. The best
                 cumulative return 166.57percent occurs when 545-day
                 training period pairs with 365-day testing period,
                 which is much higher than the buy-and-hold strategy.",
  annote =       "The Pennsylvania State University CiteSeerX Archives",
  bibsource =    "OAI-PMH server at citeseerx.ist.psu.edu",
  language =     "en",
  oai =          "oai:CiteSeerX.psu:",
  rights =       "Metadata may be used without restrictions as long as
                 the oai identifier remains attached to it.",
  URL =          "http://citeseerx.ist.psu.edu/viewdoc/summary?doi=",
  URL =          "http://par.cse.nsysu.edu.tw/~cbyang/person/publish/c11stock_gp.pdf",
  notes =        "NOT in IEEE xplor or table of contents and another
                 paper has overlapping page numbers",

Genetic Programming entries for Siao-ming Jhou Chang-biau Yang Hung-Hsin Chen