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https://ah.lib.nccu.edu.tw/handle/140.119/64754
題名: | Market Microstructure: A Self-Organizing Map Approach to Investigate Behavior Dynamics under an Evolutionary Environment | 作者: | 陳樹衡 Kampouridis, Michael ; Chen, Shu-Heng ; Tsang, Edward |
貢獻者: | 經濟系 | 日期: | 2012 | 上傳時間: | 20-三月-2014 | 摘要: | 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. | 關聯: | Natural Computing in Computational Finance Studies in Computational Intelligence Volume 380, 2012, pp 181-197 | 資料類型: | book/chapter |
Appears in Collections: | 專書/專書篇章 |
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