Structural Change and Lead-Lag Relationship between the Nikkei Spot Index and Furure's Price: A Genetic Programming Approach

In this paper we adopt a nonparametric genetic programming (GP) approach to identify the structural changes in the Nikkei spot index and futures price. Due to the dominance of the ‘normal’ period in sample data, the lead-lag relationship identified in the spot-futures system based on convention...

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Bibliographic Details
Main Authors: Lien, Donald, TSE, Yiu Kuen, ZHANG, Xibin
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2003
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Online Access:https://ink.library.smu.edu.sg/soe_research/517
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Institution: Singapore Management University
Language: English