Computer Science ›› 2016, Vol. 43 ›› Issue (Z6): 538-541.doi: 10.11896/j.issn.1002-137X.2016.6A.128

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Chinese Stock Market Efficiency Testing Based on Genetic Programming

WANG Hong-xia and CAO Bo   

  • Online:2018-11-14 Published:2018-11-14

Abstract: There is a contradiction between the modern capital market theory and the financial investment practice.And the contradiction is about the effective market hypothesis and the technical analysis.The use of the popular technology trading rules to examine the effectiveness of the stock market may lead to two types of conclusion deviation.The tree structure is used to represent the candidate solutions in genetic programming which can well describe the technical trading rules.The genetic programming algorithm is used to generate technical trading strategy in this paper.The strategy is used to test Shanghai indexes and five stocks in the Shanghai and Shenzhen stock markets.The back test results show that genetic programming generates the best technical trading strategy with significant excess profit compared with buy-and-hold strategy and the usual popular technical indicator.Therefore,the conclusion can be made that Chinese stock market has not achieved weak-form efficiency.

Key words: Genetic programming,Market efficiency,Chinese stock market

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