Speculative Trades and Financial Regulations: Simulations Based on Genetic Programming

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

  author =       "Shu-Heng Chen and Chia-Hsuan Yeh",
  title =        "Speculative Trades and Financial Regulations:
                 Simulations Based on Genetic Programming",
  booktitle =    "Proceedings of the IEEE/IAFE 1997 Computational
                 Intelligence for Financial Engineering (CIFEr'97)",
  year =         "1997",
  pages =        "123--129",
  address =      "New York City, U.S.A.",
  month =        mar # " 24-25",
  publisher =    "IEEE Press",
  keywords =     "genetic algorithms, genetic programming, 2D parameter
                 space, cobweb markets, financial regulations, market
                 efficiency, price volatility reduction, simulations,
                 speculative trades, unstable economy, economics,
                 financial data processing, mathematical programming,
                 simulation, stock markets",
  DOI =          "doi:10.1109/CIFER.1997.618924",
  size =         "7 pages",
  abstract =     "By exploring a two-dimensional parameter space, the
                 paper pinpoints the area where speculative trades can
                 contribute to the reduction of price volatility and are
                 hence imperative for market efficiency. This area is
                 delimited by a rather restrictive financial regulations
                 imposed on an inherently unstable economy.
                 Specifically, depending on the associated financial
                 regulations, the authors' GP-based simulations of
                 cobweb markets show that speculative trades may reduce
                 price volatility by 20percent to 50percent in an
                 inherently unstable economy; on the other hand they may
                 also increase price volatility by 300percent to
                 3000percent. The paper generalises the earlier finding
                 by Chen and Yeh (1997), which basically shows that in
                 an inherently stable economy, speculative trades can
                 only be destabilising",

Genetic Programming entries for Shu-Heng Chen Chia Hsuan Yeh