Evolutionary Finance

Created by W.Langdon from gp-bibliography.bib Revision:1.4221

  author =       "Igor V. Evstigneev and Thorsten Hens and 
                 Klaus Reiner Schenk-Hoppe",
  title =        "Evolutionary Finance",
  editor =       "Thorsten Hens and Klaus Reiner Schenk-Hoppe",
  booktitle =    "Handbook of Financial Markets: Dynamics and
  publisher =    "North-Holland",
  address =      "San Diego",
  year =         "2009",
  chapter =      "9",
  pages =        "507--566",
  keywords =     "genetic algorithms, genetic programming",
  isbn13 =       "978-0-12-374258-2",
  DOI =          "doi:10.1016/B978-012374258-2.50013-0",
  URL =          "http://www.sciencedirect.com/science/article/B8N8N-4W6Y2CK-9/2/d140c798e01e01356572d883e6694255",
  abstract =     "Publisher Summary

                 This chapter surveys current research and applications
                 of evolutionary finance inspired by Darwinian ideas and
                 random dynamical systems theory. This approach studies
                 the market interaction of investment strategies, and
                 the wealth dynamics it entails in financial markets.
                 The emphasis in this survey was on the motivation and
                 the heuristic justification of the results; technical
                 details were avoided as much as possible. In contrast
                 to the current standard paradigm in economic modelling,
                 this approach is based on random dynamical systems. An
                 equilibrium holds only in the short term, which
                 reflects the model of investment behaviour explored in
                 an evolutionary finance approach. Continuous-time
                 evolutionary finance models are the latest development
                 in this field. This approach can be seen as a
                 generalisation of the workhorse model of
                 continuous-time financial mathematics. One advantage of
                 this model is the flexibility to have different trade
                 frequencies and changes in dividend


                 Evolutionary finance studies the dynamic interaction of
                 investment strategies in financial markets. This market
                 interaction generates a stochastic wealth dynamic on a
                 heterogenous population of traders through the
                 fluctuation of asset prices and their random payoffs.
                 Asset prices are endogenously determined through
                 short-term market clearing. Investors' portfolio
                 choices are characterized by investment strategies that
                 provide a descriptive model of decision behavior. The
                 mathematical framework of these models is given by
                 random dynamical systems.

                 This chapter surveys the recent progress made by the
                 authors in the theory and applications of evolutionary
                 finance models. An introduction to and the motivation
                 of the modeling approach is followed by a theoretical
                 part that presents results on the market selection (and
                 coexistence) of investment strategies, discusses the
                 relation to the Kelly Rule and implications for
                 asset-pricing theory, and introduces a continuous-time
                 mathematical finance version. Applications are
                 concerned with simulation studies of market dynamics,
                 empirical estimation of asset prices and their
                 dynamics, and evolution of investment strategies using
                 genetic programming.",

Genetic Programming entries for Igor V Evstigneev Thorsten Hens Klaus Reiner Schenk-Hoppe