Structural change and lead-lag relationship between the Nikkei spot index and futures price: a genetic programming approach
DOI10.1088/1469-7688/3/2/307zbMATH Open1405.91636OpenAlexW2151795974MaRDI QIDQ4647252FDOQ4647252
Authors: Donald Lien, Yiu Kuen Tse, Xibin Zhang 
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/soe_research_all/4
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Cites Work
- Estimating and Testing Linear Models with Multiple Structural Changes
- Title not available (Why is that?)
- Large returns, conditional correlation and portfolio diversification: a value-at-risk approach
- Evolving traders and the business school with genetic programming: A new architecture of the agent-based artificial stock market
- A real-time adaptive trading system using genetic programming
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