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Trading and hedging in S&P 500 spot and futures markets using genetic programming
16 references·5 citing·46 second hop
Trading and hedging in S&P 500 spot and futures markets using genetic programming (2000)Trading and hedging in S&P 500 spot and f…The General Theory of Employment, Interest, and Money (2018)The General Theory of Employm…On Market Timing and Investment Performance Part I: An Equilibrium Theory of Value for Market Forecasts (2011)On Market Timing and Investme…Using genetic algorithms to find technical trading rules (1999)Using genetic algorithms to f…Global Stock Markets in the Twentieth Century (1999)Global Stock Markets in the T…Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Data‐Snooping, Technical Trad…Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach (1997)Is Technical Analysis in the …Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…Predictability of Stock Returns: Robustness and Economic Significance (1995)Predictability of Stock Retur…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…Herd on the Street: Informational Inefficiencies in a Market with Short‐Term Speculation (1992)Herd on the Street: Informati…On Technical Analysis (1989)On Technical AnalysisEconomic prediction using neural networks: the case of IBM daily stock returns (1988)Economic prediction using neu…Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Are Seasonal Anomalies Real? …On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (1981)On Market Timing and Investme…The General Theory of Employment, Interest and Money. (1936)The General Theory of Employm…An integrated approach to optimize moving average rules in the EUA futures market based on particle swarm optimization and genetic algorithms (2016)An integrated approach to opt…Selecting dynamic moving average trading rules in the crude oil futures market using a genetic approach (2015)Selecting dynamic moving aver…The profitability of candlestick charting in the Taiwan stock market (2013)The profitability of candlest…Stock Selection: An Innovative Application of Genetic Programming Methodology (2007)Stock Selection: An Innovativ…The Profitability of Technical Trading Rules in Us Futures Markets: A Data Snooping Free Test (2005)The Profitability of Technica…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Continuous Auctions and Insider Trading (1985)Noise Trader Risk in Financial Markets (1990)Following the Pied Piper: Do Individual Returns Herd around the Market? (1995)The portfolio flows of international investors (2001)Institutional Herding (2003)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)International evidence on ethical mutual fund performance and investment style (2004)On the Industry Concentration of Actively Managed Equity Mutual Funds (2005)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)The Behavior of Stock-Market Prices (1965)Does the Stock Market Overreact? (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Market underreaction to open market share repurchases (1995)Do Investors Trade Too Much? (1999)Improved Methods for Tests of Long‐Run Abnormal Stock Returns (1999)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Conditioning Variables and the Cross Section of Stock Returns (1999)Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis (2006)Measuring security price performance (1980)The relationship between return and market value of common stocks (1981)A Theory of Intraday Patterns: Volume and Price Variability (1988)Data-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Efficient Capital Markets: II (1991)Fundamentals and Stock Returns in Japan (1991)Trading Volume and Serial Correlation in Stock Returns (1993)Comparing Predictive Accuracy (1994)Asymptotics for out of sample tests of Granger causality (2006)False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas (2010)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Introduction: epistemic communities and international policy coordination (1992)Postwar U.S. Business Cycles: An Empirical Investigation (1997)The Categorical Imperative: Securities Analysts and the Illegitimacy Discount (1999)Optimal monetary policy with staggered wage and price contracts (2000)Investor Psychology and Asset Pricing (2001)Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1936The General Theory of Employment, Interest and Money.14,486 cited
  • 2018The General Theory of Employment, Interest, and Money4,835 cited
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,298 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills1,321 cited
  • 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective1,179 cited
  • 1992Herd on the Street: Informational Inefficiencies in a Market with Short‐Term Speculation1,088 cited
  • 1995Predictability of Stock Returns: Robustness and Economic Significance1,034 cited
  • 1999Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap1,024 cited
  • 1999Using genetic algorithms to find technical trading rules855 cited
  • 1988Economic prediction using neural networks: the case of IBM daily stock returns698 cited
  • 1997Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach641 cited
  • 1999Global Stock Markets in the Twentieth Century515 cited
  • 2011

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On Market Timing and Investment Performance Part I: An Equilibrium Theory of Value for Market Forecasts
506 cited
  • 1989On Technical Analysis499 cited
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    • 2007Stock Selection: An Innovative Application of Genetic Programming Methodology41 cited
    • 2013The profitability of candlestick charting in the Taiwan stock market37 cited
    • 2015Selecting dynamic moving average trading rules in the crude oil futures market using a genetic approach37 cited
    • 2005The Profitability of Technical Trading Rules in Us Futures Markets: A Data Snooping Free Test32 cited