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基于GNP方法的外汇市场交易策略研究 被引量:1

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摘要 通过一种全新的进化算法GNP-RL(Genetic Network Programming with Reinforcement Learning)来构建外汇市场交易模型。作为一种图状的进化算法,GNP已经被成功运用到多种动态的环境中。首次将GNP方法运用到外汇市场,并通过对算法产生的超额收益验证外汇市场的有效性。实证结果表明:在使用样本外数据测试的情况下,基于GNP的交易策略是可以产生超额收益的;这种现象可以用适应性市场假说(AMH)来说明。
作者 宋宁
出处 《管理现代化》 CSSCI 北大核心 2014年第6期16-18,共3页 Modernization of Management
基金 国家自然科学基金青年科学基金项目(71101083) 国家自然科学基金重点项目(71331006)
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