Return predictability and the `wisdom of crowds': Genetic Programming trading algorithms, the Marginal Trader Hypothesis and the Hayek Hypothesis

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@Article{Manahov:2015:JIFMIM,
  author =       "Viktor Manahov and Robert Hudson and Hafiz Hoque",
  title =        "Return predictability and the `wisdom of crowds':
                 Genetic Programming trading algorithms, the Marginal
                 Trader Hypothesis and the Hayek Hypothesis",
  journal =      "Journal of International Financial Markets,
                 Institutions and Money",
  year =         "2015",
  ISSN =         "1042-4431",
  DOI =          "doi:10.1016/j.intfin.2015.02.009",
  URL =          "http://www.sciencedirect.com/science/article/pii/S1042443115000268",
  abstract =     "We develop profitable stock market forecasts for a
                 number of financial instruments and portfolios using a
                 special adaptive form of the Strongly Typed Genetic
                 Programming (STGP)-based trading algorithm. The
                 STGP-based trading algorithm produces one-day-ahead
                 return forecasts for groups of artificial traders with
                 different levels of intelligence and different group
                 sizes. The performance of the algorithm is compared
                 with a number of benchmark forecasts and these
                 comparisons clearly demonstrate the short-term
                 superiority of the STGP-based method in many
                 circumstances. Subsequently we provide detailed
                 analysis of the impact of trader cognitive abilities
                 and trader numbers on the accuracy of forecasting rules
                 which allows us to conduct new experimental tests of
                 the Marginal Trader and the Hayek Hypotheses. We find
                 little support for the Marginal Trader Hypothesis but
                 some evidence for the Hayek Hypothesis.",
  keywords =     "genetic algorithms, genetic programming, Forecasting
                 and simulation, Agent-based modelling, Artificial stock
                 market, Marginal Trader Hypothesis, Hayek Hypothesis",
}

Genetic Programming entries for Viktor Manahov Robert Hudson Hafiz Hoque

Citations