On the emergent properties of artificial stock markets: the efficient market hypothesis and the rational expectations hypothesis

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

@Article{Chen:2002:JEBO,
  author =       "Shu-Heng Chen and Chia-Hsuan Yeh",
  title =        "On the emergent properties of artificial stock
                 markets: the efficient market hypothesis and the
                 rational expectations hypothesis",
  journal =      "Journal of Economic Behavior \& Organization",
  year =         "2002",
  volume =       "49",
  pages =        "217--239",
  number =       "2",
  keywords =     "genetic algorithms, genetic programming, Artificial
                 stock markets, Emergent properties, Efficient market
                 hypothesis, Rational expectations hypothesis",
  owner =        "wlangdon",
  URL =          "http://www.sciencedirect.com/science/article/B6V8F-45F900X-8/2/c034ae35c111ca061a11cae1df4b2cd5",
  ISSN =         "0167-2681",
  DOI =          "doi:10.1016/S0167-2681(02)00068-9",
  abstract =     "By studying two well known hypotheses in economics,
                 this paper illustrates how emergent properties can be
                 shown in an agent-based artificial stock market. The
                 two hypotheses considered are the efficient market
                 hypothesis and the rational expectations hypothesis. We
                 inquire whether the macrobehavior depicted by these two
                 hypotheses is consistent with our understanding of the
                 micro-behaviour. In this agent-based model, genetic
                 programming is applied to evolving a population of
                 traders learning over time. We first apply a series of
                 econometric tests to show that the EMH and the REH can
                 be satisfied with some portions of the artificial time
                 series. Then, by analysing traders' behavior, we show
                 that these aggregate results cannot be interpreted as a
                 simple scaling-up of individual behaviour. A conjecture
                 based on sunspot-like signals is proposed to explain
                 why macrobehavior can be very different from
                 micro-behaviour. We assert that the huge search space
                 attributable to genetic programming can induce
                 sunspot-like signals, and we use simulated evolved
                 complexity of forecasting rules and Granger causality
                 tests to examine this assertion.",
}

Genetic Programming entries for Shu-Heng Chen Chia Hsuan Yeh

Citations