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- W1849195338 abstract "In this paper, the performance of canonical GA-based trading strategies are evaluated under different time series. Two classes of time series model are considered, namely, linear ARMA model and bilinear model. Unlike many existing applications of computational intelligence in financial engineering, for each performance criterion, we provide a rigorous asymptotic statistical test based on Monte Carlo simulation. As a result, this study provides us with a thorough understanding about the effectiveness of canonical GAs for evolving trading strategies under these two classes of time series." @default.
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- W1849195338 date "1999-07-13" @default.
- W1849195338 modified "2023-09-27" @default.
- W1849195338 title "Genetic algorithms, trading strategies and stochastic processes: some new evidence from Monte Carlo simulations" @default.
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