Agent-based computational modeling of the stock price-volume relation

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@Article{Chen:2005:IS,
  author =       "Shu-Heng Chen and Chung-Chih Liao",
  title =        "Agent-based computational modeling of the stock
                 price-volume relation",
  journal =      "Information Sciences",
  year =         "2005",
  volume =       "170",
  pages =        "75--100",
  number =       "1",
  abstract =     "From the perspective of the agent-based model of stock
                 markets, this paper examines the possible explanations
                 for the presence of the causal relation between stock
                 returns and trading volume. Using the agent-based
                 approach, we find that the explanation for the presence
                 of the stock price-volume relation may be more
                 fundamental. Conventional devices such as information
                 asymmetry, reaction asymmetry, noise traders or tax
                 motives are not explicitly required. In fact, our
                 simulation results show that the stock price-volume
                 relation may be regarded as a generic property of a
                 financial market, when it is correctly represented as
                 an evolving decentralised system of autonomous
                 interacting agents. One striking feature of agent-based
                 models is the rich profile of agents' behaviour. This
                 paper makes use of the advantage and investigates the
                 micro-macro relations within the market. In particular,
                 we trace the evolution of agents' beliefs and examine
                 their consistency with the observed aggregate market
                 behavior. We argue that a full understanding of the
                 price-volume relation cannot be accomplished unless the
                 feedback relation between individual behaviour at the
                 bottom and aggregate phenomena at the top is well
                 understood.",
  owner =        "wlangdon",
  URL =          "http://www.sciencedirect.com/science/article/B6V0C-4B3JHTS-6/2/9e023835b1c70f176d1903dd3a8b638e",
  month =        "18 " # feb,
  keywords =     "genetic algorithms, genetic programming",
  DOI =          "doi:10.1016/j.ins.2003.03.026",
}

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

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