Discovering c Programming with Lambda Abstraction

Title	Discovering c Programming with Lambda Abstraction
Creator	陳樹衡 Chen,Shu-Heng
Contributor	經濟系
Date	2004
Date Issued	14-Aug-2014 11:47:55 (UTC+8)
Summary	We applied genetic programming with a lambda abstraction module mechanism to learn technical trading rules based on S&P 500 index from 1982 to 2002. The results show strong evidence of excess returns over buy-and-hold after transaction cost. The discovered trading rules can be interpreted easily; each rule uses a combination of one to four widely used technical indicators to make trading decisions. The consensus among these trading rules is high. For the majority of the testing period, 80% of the trading rules give the same decision. These rules also give high transaction frequency. Regardless of the stock market climate, they are able to identify opportunities to make profitable trades and out-perform buy-and-hold.
Relation	Genetic Programming Theory and Practice II. Genetic Programming Volume 8, 2005, pp 11-30
Type	book/chapter

dc.contributor	經濟系	en_US
dc.creator (作者)	陳樹衡	zh_TW
dc.creator (作者)	Chen,Shu-Heng	en_US
dc.date (日期)	2004	en_US
dc.date.accessioned	14-Aug-2014 11:47:55 (UTC+8)	-
dc.date.available	14-Aug-2014 11:47:55 (UTC+8)	-
dc.date.issued (上傳時間)	14-Aug-2014 11:47:55 (UTC+8)	-
dc.identifier.uri (URI)	http://nccur.lib.nccu.edu.tw/handle/140.119/68718	-
dc.description.abstract (摘要)	We applied genetic programming with a lambda abstraction module mechanism to learn technical trading rules based on S&P 500 index from 1982 to 2002. The results show strong evidence of excess returns over buy-and-hold after transaction cost. The discovered trading rules can be interpreted easily; each rule uses a combination of one to four widely used technical indicators to make trading decisions. The consensus among these trading rules is high. For the majority of the testing period, 80% of the trading rules give the same decision. These rules also give high transaction frequency. Regardless of the stock market climate, they are able to identify opportunities to make profitable trades and out-perform buy-and-hold.	en_US
dc.format.extent	4224682 bytes	-
dc.format.mimetype	application/pdf	-
dc.language.iso	en_US	-
dc.relation (關聯)	Genetic Programming Theory and Practice II. Genetic Programming Volume 8, 2005, pp 11-30	en_US
dc.title (題名)	Discovering c Programming with Lambda Abstraction	en_US
dc.type (資料類型)	book/chapter	en