Price Discovery in Agent-Based Computational Modeling of the Artificial Stock Market

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

@InCollection{ChenLiao:2002:gagpcf,

• author = "Shu-Heng Chen and Chung-Chih Liao",
• title = "Price Discovery in Agent-Based Computational Modeling of the Artificial Stock Market",
• booktitle = "Genetic Algorithms and Genetic Programming in Computational Finance",
• publisher = "Kluwer Academic Press",
• year = "2002",
• editor = "Shu-Heng Chen",
• chapter = "16",
• pages = "335--356",
• keywords = "genetic algorithms, genetic programming, Price Discovery, Homogeneous Rational Expectation Equilibrium, Agent-Based Computational Finance, Excessive Volatility",
• ISBN = "0-7923-7601-3",
• URL = "http://www.aiecon.org/staff/shc/pdf/apga002.pdf",
• URL = "http://www.springer.com/economics/economic+theory/book/978-0-7923-7601-9",
• DOI = "doi:10.1007/978-1-4615-0835-9_16",
• size = "8 pages",
• abstract = "the behaviour of price discovery within a context of an agent based stock market, in which the twin assumptions, namely, rational expectations and the representative agents normally made in mainstream economics, are removed. In this model, traders stochastically update their forecasts by searching the business school whose evolution is driven by genetic programming. Via these agent based simulations, it is found that, except for some extreme cases, the mean prices generated from these artificial markets deviate from the homogeneous rational expectation equilibrium (HREE) prices no more than by 20per cent. This figure provides us a rough idea on how different we can possibly be when the twin assumptions are not taken. Furthermore, while the HREE price should be a deterministic constant in all of our simulations, the artificial price series generated exhibit quite wild fluctuation, which may be coined as the well-known excessive volatility in finance.",
• notes = "part of \cite{chen:2002:gagpcf}",

}

Genetic Programming entries for Shu-Heng Chen Chung-Chih Liao

Citations