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政大機構典藏 > 社會科學學院 > 經濟學系 > 期刊論文 > Item 140.119/48590

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/48590

Title:	A Genetic Programming Approach to Model International Short-Term Capital Flow
Authors:	陳樹衡 Chen,Shu-Heng;Yu,Tina;Kuo,Tzu-Wen
Date:	2004
Issue Date:	2010-11-24 22:06:53 (UTC+8)
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.
Relation:	Advances in Econometrics,17,45-70
Data Type:	article
Appears in Collections:	[經濟學系] 期刊論文

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