A hybrid stock trading system using genetic network programming and mean conditional value-at-risk
暂无分享,去创建一个
[1] Daniel B. Nelson. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH , 1991 .
[2] James B. Wiggins. Option values under stochastic volatility: Theory and empirical estimates , 1987 .
[3] Massimiliano Kaucic,et al. Investment using evolutionary learning methods and technical rules , 2010, Eur. J. Oper. Res..
[4] Shingo Mabu,et al. Genetic Network Programming with Reinforcement Learning and Its Performance Evaluation , 2004, GECCO.
[5] M. Kaboudan. Genetic Programming Prediction of Stock Prices , 2000 .
[6] John R. Koza,et al. Genetic programming - on the programming of computers by means of natural selection , 1993, Complex adaptive systems.
[7] Kotaro Hirasawa,et al. Class Association Rule Mining with Chi-Squared Test Using Genetic Network Programming , 2006, 2006 IEEE International Conference on Systems, Man and Cybernetics.
[8] Martin Schweizer,et al. Variance-Optimal Hedging in Discrete Time , 1995, Math. Oper. Res..
[9] Kotaro Hirasawa,et al. Network structure oriented evolutionary model-Genetic Network Programming-and its comparison with Ge , 2001 .
[10] Constantin Zopounidis,et al. A multicriteria DSS for stock evaluation using fundamental analysis , 2008, Eur. J. Oper. Res..
[11] Luis M. Viceira,et al. Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets , 1999 .
[12] Barry F. Smith,et al. Testing The Adaptive Efficiency Of U.S. Stock Markets: A Genetic Programming Approach , 2010 .
[13] Stanislav Uryasev,et al. Conditional Value-at-Risk for General Loss Distributions , 2002 .
[14] Constantin Zopounidis,et al. Business failure prediction using rough sets , 1999, Eur. J. Oper. Res..
[15] Ha-Young Kim,et al. Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility , 2012 .
[16] Shingo Mabu,et al. Trading Rules on the Stock Markets using Genetic Network Programming with Candlestick Chart , 2006, 2006 IEEE International Conference on Evolutionary Computation.
[17] R. Engle. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .
[18] S. Heston. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options , 1993 .
[19] Melvyn Sim,et al. Portfolio Value-at-Risk Optimization for Asymmetrically Distributed Asset Returns , 2012, Eur. J. Oper. Res..
[20] S. Greco,et al. Beyond Markowitz with multiple criteria decision aiding , 2013 .
[21] Gwo-Hshiung Tzeng,et al. Using FSBT technique with Rough Set Theory for personal investment portfolio analysis , 2010, Eur. J. Oper. Res..
[22] Jun Liu. Portfolio Selection in Stochastic Environments , 2007 .
[23] G. Pflug. Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk , 2000 .
[24] R. Frey,et al. Bounds on European Option Prices under Stochastic Volatility , 1999 .
[25] Alan G. White,et al. The Pricing of Options on Assets with Stochastic Volatilities , 1987 .
[26] T. Bollerslev,et al. Generalized autoregressive conditional heteroskedasticity , 1986 .
[27] Michael J. Tomas,et al. American stochastic volatility call option pricing: A lattice based approach , 1996 .
[28] Kotaro Hirasawa,et al. A Double-Deck Elevator Group Supervisory Control System Using Genetic Network Programming , 2008, IEEE Transactions on Systems, Man, and Cybernetics, Part C (Applications and Reviews).
[29] Jinglu Hu,et al. Genetic network programming - application to intelligent agents , 2000, Smc 2000 conference proceedings. 2000 ieee international conference on systems, man and cybernetics. 'cybernetics evolving to systems, humans, organizations, and their complex interactions' (cat. no.0.
[30] S. Achelis. Technical analysis a to z , 1994 .
[31] Efstratios F. Georgopoulos,et al. Forecasting foreign exchange rates with adaptive neural networks using radial-basis functions and Particle Swarm Optimization , 2013, Eur. J. Oper. Res..
[32] Shingo Mabu,et al. A model of portfolio optimization using time adapting genetic network programming , 2010, Comput. Oper. Res..
[33] G. Box,et al. Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models , 1970 .
[34] Shingo Mabu,et al. Generating stock trading signals based on matching degree with extracted rules by genetic network programming , 2010, Proceedings of SICE Annual Conference 2010.
[35] Franklin Allen,et al. Using genetic algorithms to find technical trading rules , 1999 .
[36] B. LeBaron,et al. Simple Technical Trading Rules and the Stochastic Properties of Stock Returns , 1992 .
[37] Shingo Mabu,et al. A genetic network programming with learning approach for enhanced stock trading model , 2009, Expert Syst. Appl..
[38] Phhilippe Jorion. Value at Risk: The New Benchmark for Managing Financial Risk , 2000 .
[39] W. Sharpe. The Sharpe Ratio , 1994 .
[40] Ling-Ming Kung,et al. Prediction of index futures returns and the analysis of financial spillovers - A comparison between GARCH and the grey theorem , 2008, Eur. J. Oper. Res..
[41] Ching-Hsue Cheng,et al. A hybrid model based on rough sets theory and genetic algorithms for stock price forecasting , 2010, Inf. Sci..
[42] H. Kraft. Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility , 2005 .
[43] M. Kaucic. Predicting EU Energy Industry Excess Returns on EU Market Index via a Constrained Genetic Algorithm , 2009 .
[44] Shingo Mabu,et al. Time Related Class Association Rule Mining and Its Application to Traffic Prediction , 2010 .
[45] Laura Núñez-Letamendia,et al. Fitting the control parameters of a genetic algorithm: An application to technical trading systems design , 2007, Eur. J. Oper. Res..
[46] Peter H. Ritchken,et al. Pricing Options under Generalized GARCH and Stochastic Volatility Processes , 1999 .
[47] Helmut Mausser,et al. Credit risk optimization with Conditional Value-at-Risk criterion , 2001, Math. Program..
[48] Louis O. Scott. Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application , 1987, Journal of Financial and Quantitative Analysis.
[49] Hongyi Li,et al. Robust general equilibrium under stochastic volatility model , 2010 .
[50] Francis Eng Hock Tay,et al. Economic and financial prediction using rough sets model , 2002, Eur. J. Oper. Res..
[51] Chien-Jen Huang,et al. Using multi-stage data mining technique to build forecast model for Taiwan stocks , 2011, Neural Computing and Applications.
[52] Jun Liu,et al. Dynamic Derivative Strategies , 2002 .
[53] R. Rockafellar,et al. Optimization of conditional value-at risk , 2000 .
[54] Shingo Mabu,et al. Trading rules on stock markets using Genetic Network Programming-Sarsa Learning with plural subroutines , 2011, SICE Annual Conference 2011.
[55] Christopher J. Neely,et al. Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach , 1996, Journal of Financial and Quantitative Analysis.
[56] M.E. El-Telbany,et al. The egyptian stock market return prediction: a genetic programming approach , 2004, International Conference on Electrical, Electronic and Computer Engineering, 2004. ICEEC '04..
[57] Stan Uryasev,et al. Derivatives of probability functions and some applications , 1995, Ann. Oper. Res..
[58] M. Schweizer. Option hedging for semimartingales , 1991 .