Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/64755
題名: | Market Microstructure: Can Dinosaurs Return? A Self-Organizing Map Approach under an Evolutionary Framework | 作者: | 陳樹衡 Kampouridis, Michael ; Chen, Shu-Heng ; Tsang, Edward |
貢獻者: | 經濟系 | 關鍵詞: | Genetic Programming; Self-Organizing Maps; Market Microstructure; Market Behavior | 日期: | 2011 | 上傳時間: | 20-三月-2014 | 摘要: | This paper extends a previous market microstructure model, which investigated fraction dynamics of trading strategies. Our model consisted of two parts: Genetic Programming, which acted as an inference engine for trading rules, and Self-Organizing Maps (SOM), which was used for clustering the above rules into trading strategy types. However, for the purposes of the experiments of our previous work, we needed to make the assumption that SOM maps, and thus strategy types, remained the same over time. Nevertheless, this assumption could be considered as strict, and even unrealistic. In this paper, we relax this assumption. This offers a significant extension to our model, because it makes it more realistic. In addition, this extension allows us to investigate the dynamics of market behavior. We are interested in examining whether financial 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 market. The results on an empirical financial market show that its behavior constantly changes; thus, agents’ strategies need to continuously adapt to the changes taking place in the market, in order to remain effective. | 關聯: | Applications of Evolutionary Computation Lecture Notes in Computer Science Volume 6625, 2011, pp 91-100 | 資料類型: | book/chapter | DOI: | http://dx.doi.org/10.1007/978-3-642-20520-0_10 |
Appears in Collections: | 專書/專書篇章 |
Show full item record
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.