On The Emergent Properties Of Artificial Stock Markets: Some Initial Evidences

Created by W.Langdon from gp-bibliography.bib Revision:1.4202

  author =       "Shu-Heng Chen and Chung-Chi Liao and Chi-Hsuan Yeh",
  title =        "On The Emergent Properties Of Artificial Stock
                 Markets: Some Initial Evidences",
  booktitle =    "Computing in Economics and Finance",
  year =         "2000",
  address =      "Universitat Pompeu Fabra, Barcelona, Spain",
  month =        "6-8 " # jul,
  keywords =     "genetic algorithms, genetic programming",
  URL =          "http://econpapers.repec.org/paper/scescecf0/328.htm",
  abstract =     "Using the framework of agent-based artificial stock
                 markets, this paper addresses the two well-known
                 properties frequently observed in financial markets,
                 namely, price-volume relation and sunspots, from a
                 bottom-up perspective. In spirit of ``bottom-up'',
                 these two phenomena are pursued in a more fundamental
                 level, i.e., we are asking: is it possible to observed
                 the emergence of these phenomena without explicit
                 references to the assumptions frequently used by the
                 studies in a ``top-down'' style? Posing it slightly
                 different, would it be enough to generate these
                 phenomena once we model the market as an evolving
                 decentralised system of autonomous interacting agents?
                 Or, can these two phenomenon be coined as ``emergent
                 phenomena'', a terminology from complex adaptive
                 systems.To do so, simulation based on AIE-ASM Version 3
                 (Chen and Yeh, 2000) are conducted for multiple runs.
                 Within the genetic programming framework, we include
                 trading volume and some irrelevant exogenous variables
                 into the terminal sets. This make it possible that
                 trader can choose to believe that trading volume or
                 sunspots can help forecast the future movement of stock
                 returns if they are convinced so from the market
                 behaviour endogenously generated by themselves. To have
                 a further examination on the emergence of sunspot
                 effects, sunspots are generated by deterministic cyclic
                 processes, such as sin curve, and the purely iid random
                 processes. We then test the emergent of these two
                 phenomena by using a new version of the Granger
                 causality test, which does not require an ad-hoc
                 procedure of filtering.",
  notes =        "http://ideas.repec.org/p/sce/scecf0/328.html

                 CEF 2000 number 328",

Genetic Programming entries for Shu-Heng Chen Chung-Chih Liao Chia Hsuan Yeh