Simulating economic transition processes by genetic programming

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  author =       "Shu-Heng Chen and Chia-Hsuan Yeh",
  title =        "Simulating economic transition processes by genetic
  journal =      "Annals of Operations Research",
  year =         "2000",
  volume =       "97",
  number =       "1-4",
  pages =        "265--286",
  month =        dec,
  keywords =     "genetic algorithms, genetic programming, Kolmogorov
                 complexity, minimum description length principle,
                 bounded rationality, short selling",
  ISSN =         "0254-5330",
  DOI =          "doi:10.1023/A:1018972006990",
  abstract =     "Recently, genetic programming has been proposed to
                 model agents' adaptive behaviour in a complex
                 transition process where uncertainty cannot be
                 formalised within the usual probabilistic framework.
                 However, this approach has not been widely accepted by
                 economists. One of the main reasons is the lack of the
                 theoretical foundation of using genetic programming to
                 model transition dynamics. Therefore, the purpose of
                 this paper is two-fold. First, motivated by the recent
                 applications of algorithmic information theory in
                 economics, we would like to show the relevance of
                 genetic programming to transition dynamics given this
                 background. Second, we would like to supply two
                 concrete applications to transition dynamics. The first
                 application, which is designed for the pedagogic
                 purpose, shows that genetic programming can simulate
                 the non-smooth transition, which is difficult to be
                 captured by conventional toolkits, such as differential
                 equations and difference equations. In the second
                 application, genetic programming is applied to simulate
                 the adaptive behavior of speculators. This simulation
                 shows that genetic programming can generate artificial
                 time series with the statistical properties frequently
                 observed in real financial time series.",

Genetic Programming entries for Shu-Heng Chen Chia Hsuan Yeh