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| Content Provider | IEEE Xplore Digital Library |
|---|---|
| Author | Duke, J. Clack, C.D. |
| Copyright Year | 2007 |
| Description | Author affiliation: Univ. Coll. London, London (Duke, J.; Clack, C.D.) |
| Abstract | We present a real world application that models a financial futures market. The agent-based simulation includes speculator agents each of which uses a Genetic Algorithm to improve its profitability in the market. This is a realistic simulation whose rates-of-return distribution is similar to those of real futures markets such as corn and FTSE100 futures. The futures markets have never before been simulated to this level of detail, and the simulation is used to test the long-held belief that speculators are more profitable if they incorporate "hedging pressure" into their price calculations - essentially, the use of market knowledge about supply and demand. Surprisingly, we show that hedging pressure cannot be used to improve profits for speculators. |
| Starting Page | 782 |
| Ending Page | 789 |
| File Size | 655149 |
| Page Count | 8 |
| File Format | |
| ISBN | 9781424413393 |
| DOI | 10.1109/CEC.2007.4424550 |
| Language | English |
| Publisher | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Publisher Date | 2007-09-25 |
| Publisher Place | Singapore |
| Access Restriction | Subscribed |
| Rights Holder | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Subject Keyword | Contracts Predictive models Genetic algorithms Computational modeling Pricing Supply and demand Data analysis Iron Profitability Testing |
| Content Type | Text |
| Resource Type | Article |
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