Speculative Trades and Financial Regulations: Simulations Based on Genetic Programming

Created by W.Langdon from gp-bibliography.bib Revision:1.8051

@InProceedings{chen:1997:stfr,

• author = "Shu-Heng Chen and Chia-Hsuan Yeh",
• title = "Speculative Trades and Financial Regulations: Simulations Based on Genetic Programming",
• booktitle = "Proceedings of the IEEE/IAFE 1997 Computational Intelligence for Financial Engineering (CIFEr'97)",
• year = "1997",
• pages = "123--129",
• address = "New York City, U.S.A.",
• month = mar # " 24-25",
• publisher = "IEEE Press",
• keywords = "genetic algorithms, genetic programming, 2D parameter space, cobweb markets, financial regulations, market efficiency, price volatility reduction, simulations, speculative trades, unstable economy, economics, financial data processing, mathematical programming, simulation, stock markets",
• DOI = "doi:10.1109/CIFER.1997.618924",
• size = "7 pages",
• abstract = "By exploring a two-dimensional parameter space, the paper pinpoints the area where speculative trades can contribute to the reduction of price volatility and are hence imperative for market efficiency. This area is delimited by a rather restrictive financial regulations imposed on an inherently unstable economy. Specifically, depending on the associated financial regulations, the authors' GP-based simulations of cobweb markets show that speculative trades may reduce price volatility by 20percent to 50percent in an inherently unstable economy; on the other hand they may also increase price volatility by 300percent to 3000percent. The paper generalises the earlier finding by Chen and Yeh (1997), which basically shows that in an inherently stable economy, speculative trades can only be destabilising",

}

Genetic Programming entries for Shu-Heng Chen Chia Hsuan Yeh

Citations