Evolving traders and the business school with genetic programming: A new architecture of the agent-based artificial stock market

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@Article{Shu-HengChen:2001:JEDC,
  author =       "Shu-Heng Chen and Chia-Hsuan Yeh",
  title =        "Evolving traders and the business school with genetic
                 programming: A new architecture of the agent-based
                 artificial stock market",
  journal =      "Journal of Economic Dynamics and Control",
  year =         "2001",
  volume =       "25",
  number =       "3-4",
  pages =        "363--393",
  month =        mar,
  keywords =     "genetic algorithms, genetic programming, Agent-based
                 computational economics, Social learning, Business
                 school, Artificial stock markets",
  DOI =          "doi:10.1016/S0165-1889(00)00030-0",
  abstract =     "we propose a new architecture to study artificial
                 stock markets. This architecture rests on a mechanism
                 called `school' which is a procedure to map the
                 phenotype to the genotype or, in plain English, to
                 uncover the secret of success. We propose an
                 agent-based model of `school', and consider school as
                 an evolving population driven by single-population GP
                 (SGP). The architecture also takes into consideration
                 traders' search behavior. By simulated annealing,
                 traders' search density can be connected to
                 psychological factors, such as peer pressure or
                 economic factors such as the standard of living. This
                 market architecture was then implemented in a standard
                 artificial stock market. Our econometric study of the
                 resultant artificial time series evidences that the
                 return series is independently and identically
                 distributed (iid), and hence supports the efficient
                 market hypothesis (EMH). What is interesting though is
                 that this iid series was generated by traders, who do
                 not believe in the EMH at all. In fact, our study
                 indicates that many of our traders were able to find
                 useful signals quite often from business school, even
                 though these signals were short-lived.",
  notes =        "JEL classification codes: G12; G14; D83 a AI-ECON
                 Research Group, Department of Economics, National
                 Chengchi University, Taipei, 11623 Taiwan b AI-ECON
                 Research Group, Department of Finance I-Shou
                 University, Kaohsiung County, 84008 Taiwan",
}

Genetic Programming entries for Shu-Heng Chen Chia Hsuan Yeh

Citations