Price Discovery in Agent-Based Computational Modeling of the Artificial Stock Market

Created by W.Langdon from gp-bibliography.bib Revision:1.3872

@InCollection{ChenLiao:2002:gagpcf,
  author =       "Shu-Heng Chen and Chung-Chih Liao",
  title =        "Price Discovery in Agent-Based Computational Modeling
                 of the Artificial Stock Market",
  booktitle =    "Genetic Algorithms and Genetic Programming in
                 Computational Finance",
  publisher =    "Kluwer Academic Press",
  year =         "2002",
  editor =       "Shu-Heng Chen",
  chapter =      "16",
  pages =        "335--356?",
  keywords =     "genetic algorithms, genetic programming, Price
                 Discovery, Homogeneous Rational Expectation
                 Equilibrium, Agent-Based Computational Finance,
                 Excessive Volatility",
  ISBN =         "0-7923-7601-3",
  URL =          "http://www.aiecon.org/staff/shc/pdf/apga002.pdf",
  URL =          "http://www.springer.com/economics/economic+theory/book/978-0-7923-7601-9",
  abstract =     "the behaviour of price discovery within a context of
                 an agent based stock market, in which the twin
                 assumptions, namely, rational expectations and the
                 representative agents normally made in mainstream
                 economics, are removed. In this model, traders
                 stochastically update their forecasts by searching the
                 business school whose evolution is driven by genetic
                 programming. Via these agent based simulations, it is
                 found that, except for some extreme cases, the mean
                 prices generated from these artificial markets deviate
                 from the homogeneous rational expectation equilibrium
                 (HREE) prices no more than by 20per cent. This figure
                 provides us a rough idea on how different we can
                 possibly be when the twin assumptions are not taken.
                 Furthermore, while the HREE price should be a
                 deterministic constant in all of our simulations, the
                 artificial price series generated exhibit quite wild
                 fluctuation, which may be coined as the well-known
                 excessive volatility in finance.",
  notes =        "part of \cite{chen:2002:gagpcf}",
  size =         "8 pages",
}

Genetic Programming entries for Shu-Heng Chen Chung-Chih Liao

Citations