- author = "Viktor Manahov",
- title = "An investigation of the behaviour of financial markets using agent-based computational models",
- school = "Newcastle University Business School",
- year = "2014",
- address = "UK",
- month = may,
- keywords = "genetic algorithms, genetic programming, STGP",
-
URL = "
https://core.ac.uk/download/pdf/153778852.pdf",
- size = "312 pages",
-
abstract = "This thesis aims to investigate the behaviour of
financial markets by using agent-based computational
models. By using a special adaptive form of the
Strongly Typed Genetic Programming (STGP)-based
learning algorithm and real historical data of stocks,
indices and currency pairs I analysed various stylized
facts of financial returns, market efficiency and stock
market forecasts.
This thesis also sought to discuss the following: 1) The appearance of herding in financial markets and the behavioural foundations of stylised facts of financial returns; 2) The implications of trader cognitive abilities for stock market properties; 3) The relationship between market efficiency and market adaptability; 4) The development of profitable stockmarket forecasts and the price-volume relationship; 5) High frequency trading, technical analysis and market efficiency.
The main findings and contributions suggest that:1) The magnitude of herding behaviour does not contribute to the mispricing of assets in the long run; 2) Individual rationality and market structure are equally important in market performance; 3) Stock market dynamics are better explained by the evolutionary process associated with the Adaptive Market Hypothesis; 4) The STGP technique significantly outperforms traditional forecasting methods such as Box-Jenkins and Holt-Winters; 5) The dynamic relationship between price and volume revealed inconclusive forecasting picture; 6) There is no definite answers as to whether high frequency trading is harmful or beneficial to market efficiency.",
-
notes = "
Supervisor: Robert Hudson
Co-supervisor: Dr. Bartosz Gebka",
