- author = "Shu-Heng Chen and Chia-Hsuan Yeh",
- title = "Genetic Programming in the Agent-Based Artificial Stock Market",
- booktitle = "Proceedings of the Congress on Evolutionary Computation",
- year = "1999",
- editor = "Peter J. Angeline and Zbyszek Michalewicz and Marc Schoenauer and Xin Yao and Ali Zalzala",
- volume = "2",
- pages = "834--841",
- address = "Mayflower Hotel, Washington D.C., USA",
- publisher_address = "445 Hoes Lane, P.O. Box 1331, Piscataway, NJ 08855-1331, USA",
- month = "6-9 " # jul,
- organisation = "Congress on Evolutionary Computation, IEEE / Neural Networks Council, Evolutionary Programming Society, Galesia, IEE",
- publisher = "IEEE Press",
- keywords = "genetic algorithms, genetic programming, algorithms, agent-based, agent-based computational economics, artificial stock markets, business school, peer pressure, simulated annealing, social learning, time series, economics, simulated annealing, software agents, stock markets",
- ISBN = "0-7803-5536-9 (softbound)",
- ISBN = "0-7803-5537-7 (Microfiche)",
-
DOI = "
doi:10.1109/CEC.1999.782509",
- 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 behaviour. 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 lid 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",
-
notes = "CEC-99 - A joint meeting of the IEEE, Evolutionary
Programming Society, Galesia, and the IEE.
Library of Congress Number = 99-61143",
