How adaptive agents in stock market perform in the presence of random news: A genetic algorithm approach

Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)

Volumn 1983, Issue , 2000, Pages 505-510

  Szeto, K Y ^a   Fong, L Y ^a  

^a HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

Author keywords

[No Author keywords available]

Indexed keywords

COMMERCE; DATA MINING; ELECTRONIC TRADING; ENGINEERING EDUCATION; FINANCIAL MARKETS; GENETIC ALGORITHMS; INTELLIGENT AGENTS; WHITE NOISE;

ADAPTIVE AGENTS; ARTIFICIAL TIME SERIES; EQUAL PROBABILITY; GENETIC ALGORITHM APPROACH; PORTFOLIO VALUE; SIMPLE GENETIC ALGORITHM; TIME CORRELATION FUNCTIONS; TRAINING AND TESTING;

INVESTMENTS;

EID: 84944032226     PISSN: 03029743     EISSN: 16113349     Source Type: Book Series    
DOI: 10.1007/3-540-44491-2_74     Document Type: Conference Paper

References (10)

1. Arthur W.B., " Complexity in Economic and Financial Markets", Complexity, 1, 1995.
2. Cutler, D.M., J.M. Poterba, and L.H. Summer, " What moves Stock Prices?" Journal of Portfolio Management, 4-12, 1989.
3. Palmer, R.G., W.B. Arthur, J.H. Holland, B Le Baron, and P. Tayler, " Artificial Economic Life: A Simple Model of a Stockmarket." Physics D, 75, 264-274, 1994.
4. Friedman, D. and J. Rust. (Eds.) (1991). The Double Auction Market: Institutions, Theories, and Evidence. Proceeding Volume XIV, Santa Fe Institute Studies in the Science of Complexity. Menlo Park: Addison-Wesley Publishing.
5. Chan K.O., MPhil. Thesis, Hong Kong University of Science and Technology, Department of Physics, 1996.
6. Cheung, K.H., M Phil. Thesis, Hong Kong University of Science and Technology, Department of Physics, 1997.
7. K.Y. Szeto, K.O. Chan, K.H. Cheung; Application of genetic algorithms in stock market prediction, (Proceedings of the Fourth International Conference on Neural Networks in the Capital Markets: Progress in Neural Processing Decision Technologies for Financial Engineering, Ed. A.S. Weigend, Y. Abu-Mostafa, and A.P.N. Refenes; World Scientific), NNCM-96, 1997, p95-103.
8. K.Y. Szeto and K.H. Cheung; Multiple Time Series Prediction using Genetic Algorithms Optimizer (Proceedings of the International Symposium on Intelligent Data Engineering and Learning) Hong Kong, IDEAL'98, Oct. 1998
9. Szeto K.Y. and Luo P.X., Self-organising behaviour in genetic algorithm for the forecasting of financial time series. Proceeding of the International Conference on Forecasting Financial Markets, FFM99, 1999. CD-Rom
10. L.Y. Fong and K.Y. Szeto, Rules Extraction in Short Memory Time Series using Genetic Algorithms, accepted by European Journal of Physics, B. 2000.