A GENETIC PROGRAMMING APPROACH TO MODEL INTERNATIONAL SHORT-TERM CAPITAL FLOW

Tina Yu, Shu-Heng Chen and Tzu-Wen Kuo

A chapter in Applications of Artificial Intelligence in Finance and Economics, 2004, pp 45-70 from Emerald Group Publishing Limited

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.

Date: 2004
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.101 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.101 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers

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: https://EconPapers.repec.org/RePEc:eme:aecozz:s0731-9053(04)19002-6

DOI: 10.1016/S0731-9053(04)19002-6

Access Statistics for this chapter

More chapters in Advances in Econometrics from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().