Using Application of which Combines the Genetic Algorithm and Filter Rule to Test the Efficiency of Taiwan Stock Market

• Main Authors: Chih Jen, 邱致仁
• Other Authors: Yang-der Yuan
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/99357401673266461645

碩士 === 國立高雄第一科技大學 === 金融營運所 === 93 === This paper presents a easy and effective way to filter the signals. The filter technique is application of which combines the genetic algorithm and filter rule. Genetic algorithm has advantages that to search in many ways and to optimize in universe. This paper uses filter rule with moving average and utilizes advantages of genetic algorithm to get clear trade strategy and to test there are the opportunities to gain excess return, and to test the weak efficiency in the stock market in Taiwan. In sum, The empirical results show that whether consider transaction costs or not, trade strategy of which genetic algorithm combines filter rule can compete with buy-and-hold rule in the market, the stocks markets can gain excess return by the filter rule.