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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| المؤلفون الرئيسيون: | , , |
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| التنسيق: | text |
| اللغة: | English |
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Institutional Knowledge at Singapore Management University
2003
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| الموضوعات: | |
| الوصول للمادة أونلاين: | https://ink.library.smu.edu.sg/soe_research/517 |
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| المؤسسة: | Singapore Management University |
| اللغة: | English |