The new ‘brew’ on the Liffey: How FMC² is adding the yeast

References

• Allen , F and Karjalainen , R . 1999 . Using genetic algorithms to find technical trading rules . J. Finan. Econ. , 51 : 245 – 271 .
   Web of Science ®Google Scholar
• Ankrim , EM and Ding , Z . 2002 . Cross-sectional volatility and return dispersion . Finan. Anal. J. , 58 : 67 – 72 .
   Web of Science ®Google Scholar
• Brabazon , A and O’Neill , M . 2006 . Biologically Inspired Algorithms for Financial Modelling , Berlin : Springer .
   Google Scholar
• Campbell , JY , Lettau , M , Malkiel , BG and Xu , Y . 2001 . Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk . J. Finan. , 56 : 1 – 43 .
   Web of Science ®Google Scholar
• Chen , S-H , Lee , W-C and Yeh , C-H . 1999 . Hedging derivative securities with genetic programming . Int. J. Intell. Syst. Account., Finan. Manage. , 8 ( 4 ) : 237 – 251 .
   Google Scholar
• Cherny , A and Madan , D . 2009 . New measures for performance evaluation . Rev. Finan. Stud. , 22 ( 7 ) : 2571 – 2606 .
   Web of Science ®Google Scholar
• Connor , G , Korajczyk , R and Linton , O . 2006 . The common and specific components of dynamic volatility . J. Econometr. , 132 : 231 – 255 .
   Web of Science ®Google Scholar
• Connor , G and Linton , O . 2007 . Semiparametric estimation of a characteristic-based factor model of common stock returns . J. Empir. Finan. , 14 : 694 – 717 .
   Google Scholar
• Connor , G and Li , S . 2008 . Market dispersion and the profitability of hedge funds. , Working Paper London School of Economics .
   Google Scholar
• Connor , G , Hagmann , M and Linton , O . 2008 . Efficient estimation of a semiparametric factor model of asset returns. , Working Paper London School of Economics .
   Google Scholar
• Dempster , MAH and Jones , C . 2000 . A real-time adaptive trading system using genetic programming . Quant. Finan. , 1 : 397 – 413 .
   Google Scholar
• deSilva , H , Sapra , S and Thorley , S . 2001 . Return dispersion and active management . Finan. Anal. J. , 57 : 54 – 61 .
   Google Scholar
• Fengler , MR , Hardle , WK and Mammen , E . 2007 . A semiparametric factor model for implied volatility surface dynamics . J. Finan. Econometr. , 5 : 189 – 218 .
   Web of Science ®Google Scholar
• Guasoni , P , Huberman , G and Wang , Z . 2007 . Performance maximization of actively managed funds. , Working Paper Federal Reserve Bank of New York .
   Google Scholar
• Hill , J , Balasubramanian , V , Greg , K and Tierens , I . 2006 . Finding alpha via covered index writing . Finan. Anal. J. , 62 ( 5 ) : 29 – 46 .
   Web of Science ®Google Scholar
• Holland , JH . 1975 . Adaptation in Natural and Artificial Systems , Ann Arbor, MI : University of Michigan Press .
   Google Scholar
• Jagannathan , R and Ma , T . 2003 . Risk reduction in large portfolios: why imposing the wrong constraints helps . J. Finan. , 58 : 1651 – 1684 .
   Web of Science ®Google Scholar
• Jones , CS . 2001 . Extracting factors from heteroskedastic asset returns . J. Finan. Econ. , 62 : 293 – 325 .
   Web of Science ®Google Scholar
• Koza , J . 1992 . Genetic Programming , Cambridge, MA : MIT Press .
   Google Scholar
• Lo , A and Haugh , M . 2001 . Asset allocation and derivatives . Quant. Finan. , 1 : 45 – 72 .
   Google Scholar
• O’Neill , M and Ryan , C . 2003 . Grammatical Evolution , Boston, MA : Kluwer Academic Publishers .
   Google Scholar
• Pesaran , MH and Zaffaroni , P . 2008 . Optimal asset allocation with factor models for large portfolios. , Working Paper University of Cambridge .
   Google Scholar
• Sentana , E . 2004 . Factor representing portfolios in large asset markets . J. Econometr. , 119 : 257 – 289 .
   Web of Science ®Google Scholar