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Title: Market Microstructure: A Self-Organizing Map Approach to Investigate Behavior Dynamics under an Evolutionary Environment
Authors: 陳樹衡
Kampouridis, Michael;Chen, Shu-Heng;Tsang, Edward
Contributors: 經濟系
Date: 2012
Issue Date: 2014-03-20 16:57:55 (UTC+8)
Abstract: This chapter presents a market microstructure model, which investigates the behavior dynamics in financial markets. We are especially interested in examining whether the markets’ behavior is non-stationary, because this implies that strategies from the past cannot be applied to future time periods, unless they have co-evolved with the markets. In order to test this, we employ Genetic Programming, which acts as an inference engine for trading rules, and Self-Organizing Maps, which is used for clustering the above rules into types of trading strategies. The results on four empirical financial markets show that their behavior constantly changes; thus, agents’ trading strategies need to continuously adapt to the changes taking place in the market, in order to remain effective.
Relation: Natural Computing in Computational Finance Studies in Computational Intelligence Volume 380, 2012, pp 181-197
Data Type: book/chapter
Appears in Collections:[經濟學系] 專書/專書篇章

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