NDLI: Genetic programming in the agent-based artificial stock market

Content Provider	IEEE Xplore Digital Library
Author	Shu-Heng Chen Chia-Hsuan Yeh
Copyright Year	1999
Description	Author affiliation: Nat. Chengchi Univ., Taipei, Taiwan (Shu-Heng Chen)
Abstract	In this paper, 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 lid 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.
Starting Page	834
Ending Page	841
File Size	761164
Page Count	8
File Format	PDF
ISBN	0780355369
DOI	10.1109/CEC.1999.782509
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	1999-07-06
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Genetic programming Stock markets Econometrics Economics Educational institutions Peer to peer computing Biological cells Simulated annealing Psychology Genetic algorithms
Content Type	Text
Resource Type	Article

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
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8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

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