A Genetic Programming Approach to Model International Short-Term Capital Flow

Title	A Genetic Programming Approach to Model International Short-Term Capital Flow
Creator	陳樹衡 Chen,Shu-Heng;Yu,Tina ;Kuo,Tzu-Wen
Date	2004
Date Issued	24-Nov-2010 22:06:53 (UTC+8)
Summary	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.
Relation	Advances in Econometrics,17,45-70
Type	article

dc.creator (作者)	陳樹衡	zh_TW
dc.creator (作者)	Chen,Shu-Heng;Yu,Tina ;Kuo,Tzu-Wen	-
dc.date (日期)	2004	-
dc.date.accessioned	24-Nov-2010 22:06:53 (UTC+8)	-
dc.date.available	24-Nov-2010 22:06:53 (UTC+8)	-
dc.date.issued (上傳時間)	24-Nov-2010 22:06:53 (UTC+8)	-
dc.identifier.uri (URI)	http://nccur.lib.nccu.edu.tw/handle/140.119/48590	-
dc.description.abstract (摘要)	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.	-
dc.language	zh_TW	en
dc.language.iso	en_US	-
dc.relation (關聯)	Advances in Econometrics,17,45-70	en
dc.title (題名)	A Genetic Programming Approach to Model International Short-Term Capital Flow	en
dc.type (資料類型)	article	en