Toward an integration of social learning and individual learning in agent-based computational stock markets:the approach based on population genetic programming

Created by W.Langdon from gp-bibliography.bib Revision:1.3973

@InProceedings{Shu-HengChen2:2000:CEF,
  author =       "Chia-Hsuan Yeh and Shu-Heng Chen",
  title =        "Toward an integration of social learning and
                 individual learning in agent-based computational stock
                 markets:the approach based on population genetic
                 programming",
  booktitle =    "Computing in Economics and Finance",
  year =         "2000",
  address =      "Universitat Pompeu Fabra, Barcelona, Spain",
  month =        "6-8 " # jul,
  keywords =     "genetic algorithms, genetic programming, Evolutionary
                 Computation, Agent-Based Modelling, Artificial Stock
                 Market, Simulated Annealing",
  URL =          "http://econpapers.repec.org/paper/scescecf0/338.htm",
  URL =          "http://fmwww.bc.edu/cef00/papers/paper338.pdf",
  size =         "31 pages",
  abstract =     "Artificial stock market is a growing field in the past
                 few years. The essence of this issue is the interaction
                 between many heterogeneous agents. In order to model
                 this complex adaptive system, the techniques of
                 evolutionary computation have been employed. Chen and
                 Yeh (2000) proposed a new architecture to construct the
                 artificial stock market. This framework is composed of
                 a single-population genetic programming (SGP) based
                 adaptive agent with a SA (Simulated Annealing) learning
                 process and a business school.

                 However, one of the drawbacks of SGP-based framework is
                 that the traders can't work out new ideas by
                 themselves. The only way is to consult researchers in
                 the business school. In order to make the traders more
                 intelligent, we employ multi-population GP (MGP) based
                 framework with the mechanism of school. This extension
                 is not only reasonable, but also has the economic
                 implications. How do the more intelligent agents
                 influence the economy? Are the econometric properties
                 of the simulation results based on MGP more like the
                 phenomena found in the real stock market? In this
                 paper, the comparison between SGP and MGP is studied
                 from two sides. One is related to the micro-structure,
                 traders? behaviour and believe. The other is
                 macro-properties, the properties of time series. The
                 line of research is helpful in understanding the
                 foundation of economics and finance, and constructing
                 more realistic economic models.",
  notes =        "http://enginy.upf.es/SCE/index2.html

                 22 Aug 2004 updated from
                 http://econpapers.hhs.se/paper/scescecf0/338.htm
                 Chung-Chi Liao was listed as co-author due to confusion
                 with \cite{RePEc:sce:scecf0:328} also in CEF 2001",
}

Genetic Programming entries for Chia Hsuan Yeh Shu-Heng Chen

Citations