On Predictability and Profitability: Would GP Induced Trading Rules be Sensitive to the Observed Entropy of Time Series?-Reference-Cited by-同舟云学术

On Predictability and Profitability: Would GP Induced Trading Rules be Sensitive to the Observed Entropy of Time Series?

Published:2008 Issue: Volume: Page:197-210
ISSN:1860-949X
Container-title:Natural Computing in Computational Finance
language:
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Author:

Navet Nicolas,Chen Shu-Heng

Publisher

Springer Berlin Heidelberg

Link

http://link.springer.com/content/pdf/10.1007/978-3-540-77477-8_11.pdf

Reference26 articles.

1. Allen F and Karjalainen R (1999) Using genetic algorithms to find technical trading rules. Journal of Financial Economics 51:245-271

2. Brock W, Dechert W, LeBaron B and Scheinkman J (1995) A test for independence based on the correlation dimension. Working papers 9520, Wisconsin Madison - Social Systems

3. Caporale G, Ntantamis C, Pantelidis T and Pittis N (2004) The BDS test as a test for the adequacy of a GARCH(1,1) specification. A Monte Carlo study. Institute for Advanced Studies, 3(2):282-309

4. Chen S H Navet N (2006) Pretests for genetic-programming evolved trading programs: zero-intelligence strategies and lottery trading. In I King, J Wang, L Chan and D L Wang (eds) Neural Information Processing, 13th International Conference, ICONIP 2006, Proceedings, Part III, volume 4234 of Lecture Notes in Computer Science, pages 450-460, Hong Kong, China. Springer.

5. Chen S H and Navet N (2007) Evolutionary Computation in Economics and Finance - Volume 2, chapter Failure of Genetic-Programming Induced Trading Strategies: Distinguishing between Efficient Markets and Inefficient Algorithms. Springer

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