Using GP Forecasts to Enhance Profitable Trading of Stocks

Proceedings of the Joint Conference on Information Sciences

Volumn 5, Issue 2, 2000, Pages 925-928

  Kaboudan, M ^a  

^a PENNSYLVANIA STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

GENETIC EVOLVED MODELS (GEM); TRADING STRATEGIES;

DATA STRUCTURES; DECISION MAKING; ELECTRONIC COMMERCE; MATHEMATICAL MODELS; MATHEMATICAL OPERATORS; RANDOM PROCESSES; REGRESSION ANALYSIS; TIME SERIES ANALYSIS;

INVESTMENTS;

EID: 0004156466     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (8)

1. Chen, S-H (1996). Genetic programming, predictability, and stock market efficiency. In Vlacic, L. Nguyen, T. and Cecez-Kecmanovic, D. (editors), Modelling and Control of National and Regional Economies, Oxford, Great Britain: Pergamon Press, 283-288.
2. Chen, S-H and Yeh, C-H (1997). Toward a computable approach to the efficient market hypothesis: An application of genetic programming, Journal of Economic Dynamics and Control 21, 1043-1063.
3. Chen, S., Yeh, C., and Lee, W. (1998). Option pricing with genetic programming. In Koza, J., Banzhaf, W., Chellapilla, K., Deb, K., Dorigo, M., Fogel, D., Garzon, M., Goldberg, D., Iba, H. and Riolo, R. (editors.), Genetic Programming 1998: Proceedings of the Third Annual Conference, San Francisco, CA: Morgan Kaufmann, 32-37.
4. Fama, E. (1965). The behavior of stock market prices, Journal of Finance 38, 34-105.
5. Kaboudan, M. (1999). A Measure of time series predictability using genetic programming applied to stock returns, forthcoming, The Journal of Forecasting.
6. Koza, J. (1992). Genetic Programming, Cambridge, MA: The MIT Press.
7. Lo, A. and MacKinlay, C. (1999). A Non-Random Walk Down Wall Street, Princeton, NJ: Princeton University Press.
8. Singleton, A. (1995). Genetic programming with C++, public domain genetic programming package, Dublin, NH: Creation Mechanics: http://www.cen.uiuc.edu/~klipp/research/ssprob.cxx.