메뉴 건너뛰기




Volumn 15, Issue SUPPL.2, 2012, Pages

Microstructure dynamics and agent-based financial markets: Can dinosaurs return?

Author keywords

dinosaur hypothesis; Genetic programming; market behavior dynamics; market microstructure; self organizing feature map

Indexed keywords


EID: 84866111171     PISSN: 02195259     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219525912500609     Document Type: Article
Times cited : (8)

References (24)
  • 1
    • 0003683562 scopus 로고
    • On learning and adaptation in the economy
    • Santa Fe Institute
    • Arthur, B., On learning and adaptation in the economy (1992), Working paper 92-07-038, Santa Fe Institute.
    • (1992) Working Paper 92-07-038
    • Arthur, B.1
  • 3
    • 79952028864 scopus 로고    scopus 로고
    • Microstructure dynamics and agentbased financial markets
    • eds. Bosse, T., Geller, A. and Jonker, C. M Springer-Verlag, Berlin Heidelberg Forthcoming
    • Chen, S.-H., Kampouridis, M. and Tsang, E., Microstructure dynamics and agentbased financial markets, in Multi-Agent-Based Simulation XI, 11th International Workshop, Revised Papers, LNAI, eds. Bosse, T., Geller, A. and Jonker, C. M., Vol. 6532 (Springer-Verlag, Berlin Heidelberg, 2011), pp. 121-135, Forthcoming.
    • (2011) Multi-Agent-Based Simulation XI, 11th International Workshop, Revised Papers, LNAI , vol.6532 , pp. 121-135
    • Chen, S.-H.1    Kampouridis, M.2    Tsang, E.3
  • 4
    • 0006162009 scopus 로고    scopus 로고
    • Evolving traders and the business school with genetic programming: A new architecture of the agent-based artificial stock market
    • Chen, S.-H. and Yeh, C.-H., Evolving traders and the business school with genetic programming: A new architecture of the agent-based artificial stock market, J. Econ. Dyn. Control 25 (2001) 363-393.
    • (2001) J. Econ. Dyn. Control , vol.25 , pp. 363-393
    • Chen, S.-H.1    Yeh, C.-H.2
  • 5
    • 84900013243 scopus 로고
    • Does the stock market overreact?
    • De Bondt,W. and Thaler, R., Does the stock market overreact? J. Finance 40 (1985) 793-805.
    • (1985) J. Finance , vol.40 , pp. 793-805
    • De Bondt, W.1    Thaler, R.2
  • 6
    • 84977703147 scopus 로고
    • Further evidence on investor overreaction and stock market seasonality
    • De Bondt, W. and Thaler, R., Further evidence on investor overreaction and stock market seasonality, J. Finance 42(3) (1987) 557-581.
    • (1987) J. Finance , vol.42 , Issue.3 , pp. 557-581
    • De Bondt, W.1    Thaler, R.2
  • 7
    • 0011812645 scopus 로고    scopus 로고
    • Recent advances with the growing hierarchical self-organizing map
    • Allinson, N., Yin, H., Allinson L. and Slack, J., Advances in Self-Organizing Maps Springer, Lincoln, England
    • Dittenbach, M., Rauber, A. and Merkl, D., Recent advances with the growing hierarchical self-organizing map, in Proc. 3rd Workshop on Self-Organizing Maps, eds. Allinson, N., Yin, H., Allinson, L. and Slack, J., Advances in Self-Organizing Maps (Springer, Lincoln, England, 2001), pp. 140-145.
    • (2001) Proc. 3rd Workshop on Self-Organizing Maps , pp. 140-145
    • Dittenbach, M.1    Rauber, A.2    Merkl, D.3
  • 9
    • 0002710321 scopus 로고    scopus 로고
    • eds. Gigerenzer, G. and Todd, P., the ABC Research Group Oxford University Press
    • Gigerenzer, G. and Todd, P., Fast and Frugal Heuristics: The Adaptive Toolbox, eds. Gigerenzer, G. and Todd, P., the ABC Research Group (Oxford University Press, 1999), pp. 3-34.
    • (1999) Fast Frugal Heuristics: The Adaptive Toolbox , pp. 3-34
    • Gigerenzer, G.1    Todd, P.2
  • 10
    • 0010626787 scopus 로고    scopus 로고
    • Analysis of dealers' processing financial news based on an artificial market approach
    • Izumi, K. and Ueda, K., Analysis of dealers' processing financial news based on an artificial market approach, J. Comput. Intell. Finance 7 (1999) 23-33.
    • (1999) J. Comput. Intell. Finance , vol.7 , pp. 23-33
    • Izumi, K.1    Ueda, K.2
  • 11
    • 79959478964 scopus 로고    scopus 로고
    • EDDIE for investment opportunities forecasting: Extending the search space of the GP
    • Barcelona, Spain
    • Kampouridis, M. and Tsang, E., EDDIE for investment opportunities forecasting: Extending the search space of the GP, in Proc. IEEE Conf. Evolutionary Computation (Barcelona, Spain, 2010), pp. 2019-2026.
    • (2010) Proc. IEEE Conf. Evolutionary Computation , pp. 2019-2026
    • Kampouridis, M.1    Tsang, E.2
  • 12
    • 0020068152 scopus 로고
    • Self-organized formation of topologically correct feature maps
    • Kohonen, T., Self-organized formation of topologically correct feature maps, J. Biol. Cybern. 43 (1982) 59-69.
    • (1982) J. Biol. Cybern , vol.43 , pp. 59-69
    • Kohonen, T.1
  • 14
    • 7544242629 scopus 로고    scopus 로고
    • The adaptive market hypothesis: Market efficiency from an evolutionary perspective
    • Lo, A., The adaptive market hypothesis: Market efficiency from an evolutionary perspective, J. Portfolio Manag. 30 (2004) 15-29.
    • (2004) J. Portfolio Manag , vol.30 , pp. 15-29
    • Lo, A.1
  • 15
    • 33846171140 scopus 로고    scopus 로고
    • Reconciling efficient markets with behavioral finance: The adaptive markets hypothesis
    • Lo, A., Reconciling efficient markets with behavioral finance: The adaptive markets hypothesis, J. Investment Consult. 2 (2005) 21-44.
    • (2005) J. Investment Consult , vol.2 , pp. 21-44
    • Lo, A.1
  • 18
    • 0001290841 scopus 로고    scopus 로고
    • Glossary of terms
    • Provost, F. and Kohavi, R., Glossary of terms, J. Mach. Learn. 30(2-3) (1998) 271-274.
    • (1998) J. Mach. Learn , vol.30 , Issue.2-3 , pp. 271-274
    • Provost, F.1    Kohavi, R.2
  • 19
    • 19944389075 scopus 로고    scopus 로고
    • Traders' long-run wealth in an artificial financial market
    • Raberto, M., Cincotti, S., Focardi, S. M. and Marchesi, M., Traders' long-run wealth in an artificial financial market, Comput. Econ. 22(2) (2003) 255-272.
    • (2003) Comput. Econ , vol.22 , Issue.2 , pp. 255-272
    • Raberto, M.1    Cincotti, S.2    Focardi, S.M.3    Marchesi, M.4
  • 20
    • 58149433367 scopus 로고
    • Rational choice and the structure of environments
    • Simon, H., Rational choice and the structure of environments, Psychol. Rev. 63 (1956) 129-138.
    • (1956) Psychol. Rev , vol.63 , pp. 129-138
    • Simon, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.