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A GENETIC PROGRAMMING APPROACH TO MODEL INTERNATIONAL SHORT-TERM CAPITAL FLOW

Applications of Artificial Intelligence in Finance and Economics

ISBN: 978-0-76231-150-7, eISBN: 978-1-84950-303-7

Publication date: 1 January 2004

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.

Citation

Yu, T., Chen, S.-H. and Kuo, T.-W. (2004), "A GENETIC PROGRAMMING APPROACH TO MODEL INTERNATIONAL SHORT-TERM CAPITAL FLOW", Binner, J.M., Kendall, G. and Chen, S.-H. (Ed.) Applications of Artificial Intelligence in Finance and Economics (Advances in Econometrics, Vol. 19), Emerald Group Publishing Limited, Bingley, pp. 45-70. https://doi.org/10.1016/S0731-9053(04)19002-6

Publisher

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Emerald Group Publishing Limited

Copyright © 2004, Emerald Group Publishing Limited