Genetic programming in the agent-based artificial stock market

Proceedings of the 1999 Congress on Evolutionary Computation, CEC 1999

Volumn 2, Issue , 1999, Pages 834-841

  Chen, Shu Heng ^a   Yeh, Chia Hsuan ^a  

^a NATIONAL CHENGCHI UNIVERSITY   (Taiwan)

Author keywords

[No Author keywords available]

Indexed keywords

ARCHITECTURE; FINANCE; GENETIC ALGORITHMS; GENETIC PROGRAMMING; SIMULATED ANNEALING;

AGENT-BASED ARTIFICIAL STOCK MARKETS; ARTIFICIAL STOCK MARKETS; ARTIFICIAL TIME SERIES; EFFICIENT MARKET HYPOTHESIS; INDEPENDENTLY AND IDENTICALLY DISTRIBUTED; MARKET ARCHITECTURES; PSYCHOLOGICAL FACTORS; STANDARD OF LIVING;

COMMERCE;

EID: 67651107660     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/CEC.1999.782509     Document Type: Conference Paper

References (6)

1. Arthur, W. B., J. Holland, B. LeBaron, R. Palmer and P. Tayler (1997), "Asset Pricing under Endogenous Expectations in an Artificial Stock Market", in W. B. Arthur, S. Durlauf & D. Lane (eds.), The Economy as an Evolving Complex System II, Addison-Wesley, pp. 15-44.
2. Chen, S.-H. and T.-W. Kuo (1999), "Towards an Agent-Based Foundations of Financial Econometrics: An Approach Based on Genetic-Programming Artificial Markets", in W. Banzhaf et al. (eds), GECCO-99: Proceedings of the Genetic and Evolutionary Computation Conference, San Francisco, CA: Morgan Kaufmann.
3. Dickey, D. A. and W. A. Fuller (1981), "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root", Econometrica 49, pp. 1057-1072.
4. Grossman, S. J. and J. Stiglitz (1980), "On the Impossibility of Informationally Efficiency Markets", American Economic Review, 70, pp. 393-408.
5. Harrald, P. (1998), "Economics and Evolution", the panel paper given at the Seventh International Conference on Evolutionary Programming, March 25-27, San Diego, U. S. A.
6. Pagan, A. (1996), "The Econometrics of Financial Markets", Journal of Empirical Finance, 3, pp. 15-102.