RT Dissertation/Thesis
T1 Testing market imperfections via genetic programming
A1 Jansen,Sebastian
WP 2011/04/07
AB The thesis checks the validity of the efficient markets hypothesis focusing on stock markets. Technical trading rules are generated by using an evolutionary  optimization algorithm (Genetic Programming) based on training samples. The trading rules are subsequently applied to data samples unknown to the algorithm beforehand. The benchmark strategy consists of a classic buy-and-hold strategy in the DAX and the Hang Seng. The trading rules generally fail at consistently beating the benchmark thus indicating that market efficiency holds.
K1 Genetischer Algorithmus
K1 Kapitalmarkteffizienz
PP Hohenheim
PB Kommunikations-, Informations- und Medienzentrum der Universität Hohenheim
UL http://opus.uni-hohenheim.de/volltexte/2011/588