Genetic Programming in Statistical Arbitrage
暂无分享,去创建一个
[1] Mats G. Nordahl,et al. Evolution of trading rules for the FX market or How to make money out of GP , 1997 .
[2] F. Eugene. FAMA, . Market efficiency, long-term returns, and behavioral finance, Journal of Financial Economics . , 1998 .
[3] Franklin Allen,et al. Using genetic algorithms to find technical trading rules , 1999 .
[4] Narasimhan Jegadeesh,et al. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency , 1993 .
[5] R. Thaler,et al. Does the Stock Market Overreact , 1985 .
[6] Prem C. Jain,et al. The Dependence between Hourly Prices and Trading Volume , 1988, Journal of Financial and Quantitative Analysis.
[7] M. C. Jensen. Some Anomalous Evidence Regarding Market Efficiency , 1978 .
[8] R. Palmer,et al. Asset Pricing Under Endogenous Expectations in an Artificial Stock Market , 1996 .
[9] Siddhartha Bhattacharyya,et al. Knowledge-intensive genetic discovery in foreign exchange markets , 2002, IEEE Trans. Evol. Comput..
[10] A. Tversky,et al. Judgment under Uncertainty: Heuristics and Biases , 1974, Science.
[11] M. Dempster,et al. A real-time adaptive trading system using genetic programming , 2001 .
[12] Robert A. Jarrow,et al. Testing Market Efficiency Using Statistical Arbitrage with Applications to Momentum and Value Strategies , 2003 .
[13] Mukund Seshadri,et al. GP-evolved Technical Trading Rules Can Outperform Buy and Hold , 2003 .
[14] Mukund Seshadri,et al. Cooperative Coevolution of Technical Trading Rules , 2003 .
[15] Joseph P. Romano,et al. The stationary bootstrap , 1994 .
[16] E. Fama. Market Efficiency, Long-Term Returns, and Behavioral Finance , 1997 .