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Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/64755


Title: Market Microstructure: Can Dinosaurs Return? A Self-Organizing Map Approach under an Evolutionary Framework
Authors: 陳樹衡
Kampouridis, Michael;Chen, Shu-Heng;Tsang, Edward
Contributors: 經濟系
Keywords: Genetic Programming;Self-Organizing Maps;Market Microstructure;Market Behavior
Date: 2011
Issue Date: 2014-03-20 17:07:44 (UTC+8)
Abstract: 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.
Relation: Applications of Evolutionary Computation Lecture Notes in Computer Science Volume 6625, 2011, pp 91-100
Data Type: book/chapter
DOI link: http://dx.doi.org/10.1007/978-3-642-20520-0_10
Appears in Collections:[Department of Economics] Books & Chapters in Books

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