TY  - CHAP
AB  - 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.
VL  - 19
SN  - 978-1-84950-303-7, 978-0-76231-150-7/0731-9053
DO  - 10.1016/S0731-9053(04)19002-6
UR  - https://doi.org/10.1016/S0731-9053(04)19002-6
AU  - Yu Tina
AU  - Chen Shu-Heng
AU  - Kuo Tzu-Wen
ED  - Jane M. Binner
ED  - Graham Kendall
ED  - Shu-Heng Chen
PY  - 2004
Y1  - 2004/01/01
TI  - A GENETIC PROGRAMMING APPROACH TO MODEL INTERNATIONAL SHORT-TERM CAPITAL FLOW
T2  - Applications of Artificial Intelligence in Finance and Economics
T3  - Advances in Econometrics
PB  - Emerald Group Publishing Limited
SP  - 45
EP  - 70
Y2  - 2024/04/25
ER  -