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

DOI10.1088/1469-7688/3/2/307zbMath1405.91636OpenAlexW2151795974MaRDI QIDQ4647252

Yiu Kuen Tse, Donald Lien, 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

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

Related Items (1)

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

Cites Work

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• Evolving traders and the business school with genetic programming: A new architecture of the agent-based artificial stock market
• Estimating and Testing Linear Models with Multiple Structural Changes
• A real-time adaptive trading system using genetic programming
• Large returns, conditional correlation and portfolio diversification: a value-at-risk approach

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