政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/48593

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113648/144635 (79%)
Visitors : 51613912 Online Users : 661

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 社會科學學院 > 經濟學系 > 期刊論文 > Item 140.119/48593

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/48593

Title:	Toward a Computable Approach to the Efficient Market Hypothesis：An Application of Genetic Programming
Authors:	陳樹衡 Chen,Shu-Heng;Yeh,Chia-Hsuan
Keywords:	Genetic programming;Evolutionary computation;Minimum description length principle;Mean absolute percentage error;Efficient market hypothesis
Date:	1997-06
Issue Date:	2010-11-24 22:08:39 (UTC+8)
Abstract:	From a computation-theoretic standpoint, this paper formalizes the notion of unpredictability in the efficient market hypothesis (EMH) by a biological-based search program, i.e., genetic programming (GP). This formalization differs from the traditional notion based on probabilistic independence in its treatment of search. Compared with the traditional notion, a GP-based search provides an explicit and efficient search program upon which an objective measure for predictability can be formalized in terms of search intensity and chance of success in the search. This will be illustrated by an example of applying GP to predict chaotic time series. Then, the EMH based on this notion will be exemplied by an application to the Taiwan and U.S. stock market. A short-term sample of TAIEX and S&P 500 with the highest complexity dened by Rissanen`s MDLP (Minimum Description Length Principle) is chosen and tested. It is found that, while linear models cannot predict better than the random walk, a GP-based search can beat random walk by 50%. It therefore confirms the belief that while the shortterm nonlinear regularities might still exist, the search costs of discovering them might be too high to make the exploitation of these regularities protable, hence the efficient market hypothesis is sustained.
Relation:	Journal of Ecnonomic Dynamics and Control,21(6),1043-1063
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/S0165-1889(97)82991-0
DOI:	10.1016/S0165-1889(97)82991-0
Appears in Collections:	[經濟學系] 期刊論文

Files in This Item:

File	Description	Size	Format
jedc1997.pdf		1897Kb	Adobe PDF2	814	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...