Economics at your fingertips  

Trading and hedging in S&P 500 spot and futures markets using genetic programming

Jun Wang

Journal of Futures Markets, 2000, vol. 20, issue 10, 911-942

Abstract: In this study, genetic programming, an optimization technique based on the principles of natural evolution, was used to generate trading and hedging rules in Standard & Poor’s 500 spot and futures markets. I adopted a realistic trading process that included reasonable transaction costs, obtainable execution prices, and all the unique features of futures trading. The results suggested that the spot market was quite efficient with most genetically generated trading rules duplicating the buy‐and‐hold strategy. Most of the trading activities of these trading programs were in the futures market, where transaction costs were substantially lower. The out‐of‐sample performance of these trading rules varied from year to year, indicating that genetic programming could not consistently find outperforming technical trading rules. Some evidence was found for the superior market‐timing abilities of these rules. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:911–942, 2000

Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

Page updated 2019-03-19
Handle: RePEc:wly:jfutmk:v:20:y:2000:i:10:p:911-942