This paper presents how momentum strategies are generated using gene expression programming(GEP) in Chinese stock market. GEP, as a generating frame, can improve the efficiency of researches in the field of momentum strategy. In terms of empirical results, GEP generation mechanism is also outstanding. This study reveals that the GEP technique has important implications for both theory and practice.
JEL classification numbers: C61; G11; G14
Keywords: GEP, Asset pricing, Momentum strategies, Weak method