Analysis of micro-behavior and bounded rationality in double auction markets using co-evolutionary GP

Created by W.Langdon from gp-bibliography.bib Revision:1.7630

@InProceedings{ChenZY:2009:GEC,

• author = "Shu-Heng Chen and Ren-Jie Zeng and Tina Yu",
• title = "Analysis of micro-behavior and bounded rationality in double auction markets using co-evolutionary {GP}",
• booktitle = "GEC '09: Proceedings of the first ACM/SIGEVO Summit on Genetic and Evolutionary Computation",
• year = "2009",
• editor = "Lihong Xu and Erik D. Goodman and Guoliang Chen and Darrell Whitley and Yongsheng Ding",
• bibsource = "DBLP, http://dblp.uni-trier.de",
• pages = "807--810",
• address = "Shanghai, China",
• organisation = "SigEvo",
• URL = "http://www.cs.mun.ca/~tinayu/Publications_files/p807.pdf",
• DOI = "doi:10.1145/1543834.1543948",
• publisher = "ACM",
• publisher_address = "New York, NY, USA",
• month = jun # " 12-14",
• isbn13 = "978-1-60558-326-6",
• keywords = "genetic algorithms, genetic programming, Poster",
• abstract = "We investigate the dynamics of trader behaviors using a co-evolutionary genetic programming system to simulate a double-auction market. The objective of this study is two-fold. First, we seek to evaluate how, if any, the difference in trader rationality/intelligence influences trading behavior. Second, besides rationality, we also analyze how, if any, the co-evolution between two learnable traders impacts their trading behaviors. We have found that traders with different degrees of rationality may exhibit different behavior depending on the type of market they are in. When the market has a profit zone to explore, the more intelligent trader demonstrate more intelligent behaviors. Also, when the market has two learnable buyers, their co-evolution produced more profitable transactions than when there was only one learnable buyer in the market. We have analyzed the learnable traders' strategies and found their behavior are very similar to humans in decision making. We will conduct human subject experiments to validate these results in the near future.",
• notes = "Also known as \cite{DBLP:conf/gecco/ChenZY09} part of \cite{DBLP:conf/gec/2009}",

}

Genetic Programming entries for Shu-Heng Chen Ren-Jie Zeng Tina Yu

Citations