Deriving momentum strategies in Chinese stock Market: Using Gene Expression Programming

Yujie Zhu and Tieqi Wang

Journal of Applied Finance & Banking, 2017, vol. 7, issue 6, 4

Abstract: This paper presents how momentum strategies are generated using gene expression programming(GEP) in Chinese stock market. GEP, as a generating frame, can improve the efficiency of researches in the field of momentum strategy. In terms of empirical results, GEP generation mechanism is also outstanding. This study reveals that the GEP technique has important implications for both theory and practice.JEL classification numbers: C61; G11; G14Keywords: GEP, Asset pricing, Momentum strategies, Weak method

Date: 2017
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