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• W2040285673 startingPage "911" @default.
• W2040285673 abstract "In this study, genetic programming, an optimization technique based on the principles of natural evolution, was used to generate trading and hedging rules in Standard & Poor’s 500 spot and futures markets. I adopted a realistic trading process that included reasonable transaction costs, obtainable execution prices, and all the unique features of futures trading. The results suggested that the spot market was quite efficient with most genetically generated trading rules duplicating the buy-and-hold strategy. Most of the trading activities of these trading programs were in the futures market, where transaction costs were substantially lower. The out-of-sample performance of these trading rules varied from year to year, indicating that genetic programming could not consistently find outperforming technical trading rules. Some evidence was found for the superior market-timing abilities of these rules. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:911–942, 2000" @default.
• W2040285673 created "2016-06-24" @default.
• W2040285673 creator A5042241049 @default.
• W2040285673 date "2000-01-01" @default.
• W2040285673 modified "2023-09-29" @default.
• W2040285673 title "Trading and hedging in S&P 500 spot and futures markets using genetic programming" @default.
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• W2040285673 doi "https://doi.org/10.1002/1096-9934(200011)20:10<911::aid-fut3>3.0.co;2-k" @default.
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