Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/23031
DC Field | Value | Language |
---|---|---|
dc.creator | 陳樹衡 | zh_TW |
dc.creator | Chen, Shu-heng; Liao, Chung-Chih | - |
dc.date | 2000-05 | en_US |
dc.date.accessioned | 2009-01-09T03:23:35Z | - |
dc.date.available | 2009-01-09T03:23:35Z | - |
dc.date.issued | 2009-01-09T03:23:35Z | - |
dc.identifier.uri | https://nccur.lib.nccu.edu.tw/handle/140.119/23031 | - |
dc.description.abstract | This paper studies the behavior of price discovery within a context of an agent based stock market, in which the twin assumptions ,n amely,rational expectations and the representative agents normally made in mainstream economics, are removed. In this model, traders stochastically update their forecasts by searching the business school whose evolution is driven by genetic programming .V ia these agent based simulations, it is found that, except for some extreme cases, the mean prices generated from these artificial markets deviate from the homogeneous rational expectation equilibrium (HREE) prices no more than by 20%. This figure provides us a rough idea on how different we can possibly be when the twin assumptions are not taken. Furthermore, while the HREE price should be a deterministic constant in all of our simulations, the artificial price series generated exhibit quite wild fluctuation, which may be coined as the well-known excessive volatility in finance. | - |
dc.format | application/ | en_US |
dc.language | en | en_US |
dc.language | en-US | en_US |
dc.language.iso | en_US | - |
dc.relation | Proceedings of the Second Asia-Pacific Conference on Genetic Algorithms and Applications (APGA`2000) | en_US |
dc.subject | Price Discovery; Homogeneous Rational Expectation Equilibrium; Genetic Programming;\r\nAgent-Based Computational Finance; Excessive Volatility | - |
dc.title | Price Discovery in Agent-Based Computational Modeling of Artificial Stock Markets | en_US |
dc.type | conference | en |
item.languageiso639-1 | en_US | - |
item.fulltext | With Fulltext | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.grantfulltext | open | - |
item.openairetype | conference | - |
item.cerifentitytype | Publications | - |
Appears in Collections: | 會議論文 |
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