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    题名: A Genetic Programming Approach to Model International Short-Term Capital Flow
    作者: 陳樹衡
    Chen,Shu-Heng;Yu,Tina;Kuo,Tzu-Wen
    日期: 2004
    上传时间: 2010-11-24 22:06:53 (UTC+8)
    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.
    關聯: Advances in Econometrics,17,45-70
    数据类型: article
    显示于类别:[經濟學系] 期刊論文

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