Genetic Programming in the Agent-Based Modeling of Stock Markets
Created by W.Langdon from
gp-bibliography.bib Revision:1.7964
- @InProceedings{SHChen:1999:gpabmsm,
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author = "Shu-Heng Chen and Chia-Hsuan Yeh",
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title = "Genetic Programming in the Agent-Based Modeling of
Stock Markets",
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booktitle = "Fifth International Conference: Computing in Economics
and Finance",
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year = "1999",
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editor = "David A. Belsley and Christopher F. Baum",
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pages = "77",
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address = "Boston College, MA, USA",
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month = "24-26 " # jun,
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note = "Book of Abstracts",
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keywords = "genetic algorithms, genetic programming, Agent-Based
Computational Economics, Social Learning, Business
School, Artificial Stock Markets, Simulated Annealing,
Peer Pressure",
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URL = "http://fmwww.bc.edu/cef99/papers/ChenYeh.pdf",
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size = "22 pages",
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abstract = "In this paper, we propose a new architecture to study
artificial stock markets. This architecture rests on a
mechanism called school which is a procedure to map the
phenotype to the genotype or, in plain English, to
uncover the secret of success. We propose an
agent-based model of school, and consider school as an
evolving population driven by single-population GP
(SGP). The architecture also takes into consideration
traders' search behavior. By simulated annealing,
traders' search density can be connected to
psychological factors, such as peer pressure or
economic factors such as the standard of living. This
market architecture was then implemented in a standard
artificial stock market. Our econometric study of the
resultant artificial time series evidences that the
return series is independently and identically
distributed (iid), and hence supports the efficient
market hypothesis (EMH). What is interesting though is
that this iid series was generated by traders, who do
not believe in the EMH at all. In fact, our study
indicates that many of our traders were able to find
useful signals quite often from business school, even
though these signals were short-lived.",
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notes = "PDF and abstract on paper differ in detail. Using PDF
info",
- }
Genetic Programming entries for
Shu-Heng Chen
Chia Hsuan Yeh
Citations