Structural change and lead-lag relationship between the Nikkei spot index and futures price: a genetic programming approach

DOI10.1088/1469-7688/3/2/307MaRDI QIDQ4647252zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

genetic programmingfutures priceNikkei spot index

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Approximation methods and heuristics in mathematical programming (90C59)

Recommendations

• The dynamics of the relationship between spot and futures markets under high and low variance regimes
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Cites work

• scientific article; zbMATH DE number 795588 (Why is no real title available?)
• A real-time adaptive trading system using genetic programming
• Estimating and Testing Linear Models with Multiple Structural Changes
• Evolving traders and the business school with genetic programming: A new architecture of the agent-based artificial stock market
• Large returns, conditional correlation and portfolio diversification: a value-at-risk approach

Cited in

(1)

• Ultra-high-frequency lead-lag relationship and information arrival

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