- author = "Chia-Hsuan Yeh and Shu-Heng Chen",
- title = "Toward an integration of social learning and individual learning in agent-based computational stock markets:the approach based on population genetic programming",
- booktitle = "Computing in Economics and Finance",
- year = "2000",
- address = "Universitat Pompeu Fabra, Barcelona, Spain",
- month = "6-8 " # jul,
- keywords = "genetic algorithms, genetic programming, Evolutionary Computation, Agent-Based Modelling, Artificial Stock Market, Simulated Annealing",
-
URL = "
http://econpapers.repec.org/paper/scescecf0/338.htm",
-
URL = "
http://fmwww.bc.edu/cef00/papers/paper338.pdf",
- size = "31 pages",
-
abstract = "Artificial stock market is a growing field in the past
few years. The essence of this issue is the interaction
between many heterogeneous agents. In order to model
this complex adaptive system, the techniques of
evolutionary computation have been employed. Chen and
Yeh (2000) proposed a new architecture to construct the
artificial stock market. This framework is composed of
a single-population genetic programming (SGP) based
adaptive agent with a SA (Simulated Annealing) learning
process and a business school.
However, one of the drawbacks of SGP-based framework is that the traders can't work out new ideas by themselves. The only way is to consult researchers in the business school. In order to make the traders more intelligent, we employ multi-population GP (MGP) based framework with the mechanism of school. This extension is not only reasonable, but also has the economic implications. How do the more intelligent agents influence the economy? Are the econometric properties of the simulation results based on MGP more like the phenomena found in the real stock market? In this paper, the comparison between SGP and MGP is studied from two sides. One is related to the micro-structure, traders? behaviour and believe. The other is macro-properties, the properties of time series. The line of research is helpful in understanding the foundation of economics and finance, and constructing more realistic economic models.",
-
notes = "http://enginy.upf.es/SCE/index2.html
22 Aug 2004 updated from http://econpapers.hhs.se/paper/scescecf0/338.htm Chung-Chi Liao was listed as co-author due to confusion with \cite{RePEc:sce:scecf0:328} also in CEF 2001",
