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Deriving momentum strategies in Chinese stock Market: Using Gene Expression Programming

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  • Yujie Zhu
  • Tieqi Wang

Abstract

This paper presents how momentum strategies are generated using gene expression programming(GEP) in Chinese stock market. GEP, as a generating frame, can improve the efficiency of researches in the field of momentum strategy. In terms of empirical results, GEP generation mechanism is also outstanding. This study reveals that the GEP technique has important implications for both theory and practice.JEL classification numbers: C61; G11; G14Keywords: GEP, Asset pricing, Momentum strategies, Weak method

Suggested Citation

  • Yujie Zhu & Tieqi Wang, 2017. "Deriving momentum strategies in Chinese stock Market: Using Gene Expression Programming," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(6), pages 1-4.
    • Handle: RePEc:spt:apfiba:v:7:y:2017:i:6:f:7_6_4
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    References listed on IDEAS

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    More about this item

    Keywords

    gep; asset pricing; momentum strategies; weak method;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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