Co-Evolving Trading Strategies to Analyze Bounded Rationality in Double Auction Markets
Created by W.Langdon from
gp-bibliography.bib Revision:1.8098
- @InCollection{Chen:2008:GPTP,
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author = "Shu-Heng Chen and Ren-Jie Zeng and Tina Yu",
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title = "Co-Evolving Trading Strategies to Analyze Bounded
Rationality in Double Auction Markets",
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booktitle = "Genetic Programming Theory and Practice {VI}",
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year = "2008",
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editor = "Rick L. Riolo and Terence Soule and Bill Worzel",
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series = "Genetic and Evolutionary Computation",
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chapter = "13",
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pages = "195--215",
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address = "Ann Arbor",
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month = "15-17 " # may,
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publisher = "Springer",
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URL = "http://www.cs.mun.ca/~tinayu/Publications_files/gptp2008.pdf",
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DOI = "doi:10.1007/978-0-387-87623-8_13",
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size = "20 pages",
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isbn13 = "978-0-387-87622-1",
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notes = "part of \cite{Riolo:2008:GPTP} published in 2009",
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keywords = "genetic algorithms, genetic programming, bounded
rationality, zero-intelligence, agent-based modelling,
human subject experiments, auction markets design,
double-auction markets, macroeconomics, trading
strategies, software agents, market simulation, market
efficiency",
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size = "19 pages",
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abstract = "We investigate double-auction (DA) market behaviour
under traders with different degrees of rationality
(intelligence or cognitive ability). The rationality of
decision making is implemented using genetic
programming (GP), where each trader evolves a
population of strategies to conduct an auction. By
assigning the GP traders different population sizes to
differentiate their cognitive ability, through a series
of simulations, we find that increasing the traders
intelligence improves the markets efficiency. However,
increasing the number of intelligent traders in the
market leads to a decline in the markets efficiency. By
analysing the individual GP traders strategies and
their co-evolution dynamics, we provide explanations to
these emerging market phenomena. While auction markets
are gaining popularity on the Internet, the insights
can help market designers devise robust and efficient
auction e-markets.",
- }
Genetic Programming entries for
Shu-Heng Chen
Ren-Jie Zeng
Tina Yu
Citations