Genetic Programming in the Agent-Based Modeling of Stock Markets

Created by W.Langdon from gp-bibliography.bib Revision:1.8081

@InProceedings{SHChen:1999:gpabmsm,

• author = "Shu-Heng Chen and Chia-Hsuan Yeh",
• title = "Genetic Programming in the Agent-Based Modeling of Stock Markets",
• booktitle = "Fifth International Conference: Computing in Economics and Finance",
• year = "1999",
• editor = "David A. Belsley and Christopher F. Baum",
• pages = "77",
• address = "Boston College, MA, USA",
• month = "24-26 " # jun,
• note = "Book of Abstracts",
• keywords = "genetic algorithms, genetic programming, Agent-Based Computational Economics, Social Learning, Business School, Artificial Stock Markets, Simulated Annealing, Peer Pressure",
• URL = "http://fmwww.bc.edu/cef99/papers/ChenYeh.pdf",
• size = "22 pages",
• 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.",
• notes = "PDF and abstract on paper differ in detail. Using PDF info",

}

Genetic Programming entries for Shu-Heng Chen Chia Hsuan Yeh

Citations