haku: @indexterm transaction costs / yhteensä: 345
viite: 187 / 345
| Tekijä: | Allen, F. Karjalainen, R. |
| Otsikko: | Using genetic algorithms to find technical trading rules. |
| Lehti: | Journal of Financial Economics
1999 : FEB, VOL. 51:2, p. 245-271 |
| Asiasana: | Algorithms Stock returns Stock markets Transaction costs |
| Vapaa asiasana: | Trading rules Excess returns |
| Kieli: | eng |
| Tiivistelmä: | The authors use a genetic algorithm to learn technical rules for the Standard & Poor's composite index using daily prices from 1928 to 1995. After transaction costs, the rules do not earn consistent excess returns over a simple buy-and-hold strategy in the out-of-sample test periods. The rules are able to identify periods to be in the index when daily returns are positive and volatility is low and out when the reverse is true. The later results can largely be explained by low-order seriial correlation in stock index returns. |
SCIMA