"Reverse engineering" of managed fund market timing strategies

Created by W.Langdon from gp-bibliography.bib Revision:1.7615

@InProceedings{Falbo:2002:IFORS,

• author = "Paolo Falbo and Nicola Doninelli",
• title = "{"}Reverse engineering{"} of managed fund market timing strategies",
• booktitle = "The Sixteenth Triennial Conference of the International Federation of Operational Research Societies",
• year = "2002",
• address = "University of Edinburgh",
• month = "8-12 " # jul,
• organisation = "UK Operational Research Society",
• note = "Conference theme: OR in a globalised, networked world economy, Invited session",
• keywords = "genetic algorithms, genetic programming",
• broken = "http://meetings.informs.org/IFORS2002/working_files/program.pdf",
• abstract = "In market timing studies the sensitivity of fund returns to the payoff of perfect market timing strategies is usually provided. Nothing is said about the nature of the trading strategies implemented by fund managers. In this work we present a novel method to identify timing activity more than timing ability based on genetic programming and the Henriksson-Merton model. While timing ability is necessarily associated to superior forecasting, timing activity is not. Therefore, we're not testing the EMH from the supply side but attempt to address a slightly different question: do mutual funds use timing strategies? This is an intriguing problem given that we focus on investment style more than on the average profits of market timing.",
• notes = "program.pdf has above abstract eurizoncapital.com??? University of Brescia, Italy",

}

Genetic Programming entries for Paolo Falbo Nicola Doninelli

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