On Bargaining Strategies in the SFI Double Auction Tournaments: Is Genetic Programming the Answer?

Created by W.Langdon from gp-bibliography.bib Revision:1.3872

  author =       "Shu-Heng Chen",
  title =        "On Bargaining Strategies in the SFI Double Auction
                 Tournaments: Is Genetic Programming the Answer?",
  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/RePEc:sce:scecf0:329",
  abstract =     "While early computational studies of bargaining
                 strategies, such as Rust, Miller and Palmer (1993,
                 1994) and Andrew and Prager (1996) all indicates the
                 significance of agent-based modeling in the follow-up
                 research, a real agent-based model of bargaining
                 strategies in DA markets has never been taken. This
                 paper attempts to take the fisrt step toward it.

                 In this paper, genetic programming is employed to
                 evolve bargaining strategies within the context of SFI
                 double auction tournaments. We are interested in
                 knowing that given a set of traders, each with a fixed
                 trading strategies, can the automated trader driven by
                 genetic programming eventually develop bargaining
                 strategies which can outperform its competitors'
                 strategies? To see how GP trader can survive in various
                 environments, different sets of traders characterized
                 by different compositions of bargaining strategies are
                 chosen to compete with the single GP trader. To give a
                 measure of the difficult level of the DA auction
                 markets facing the GP trader, the program length is
                 used to define the intelligence of chosen traders. In
                 one experiment, the chosen traders are all naive; in
                 another experiment, the traders are all sophisticated.
                 Other experiments are placed in the middle of these two
  notes =        "http://enginy.upf.es/SCE/index2.html

                 22 Aug 2004

Genetic Programming entries for Shu-Heng Chen