Analysis of micro-behavior and bounded rationality in double auction markets using co-evolutionary GP
Created by W.Langdon from
gp-bibliography.bib Revision:1.8098
- @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