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題名 Analysis of Micro-Behavior and Bounded Rationality in Double Auction Markets Using Co-evolutionary GP
作者 Chen,Shu-Heng; Zeng,Ren-Jie; Yu,Tina
陳樹衡;曾仁傑
貢獻者 政治大學經濟系
日期 2010.06
上傳時間 28-Jul-2011 11:33:57 (UTC+8)
摘要 We investigate the dynamics of trader behaviors using a co-evolutionary genetic programming system to simulate a double-auction market. The objective of this study is two-fold. First, we seek to evaluate how, if any, the difference in trader rationality/intelligence influences trading behavior. Second, besides rationality, we also analyze how, if any, the co-evolution between two learnable traders impacts their trading behaviors. We have found that traders with different degrees of rationality may exhibit different behavior depending on the type of market they are in. When the market has a profit zone to explore, the more intelligent trader demonstrate more intelligent behaviors. Also, when the market has two learnable buyers, their co-evolution produced more profitable transactions than when there was only one learnable buyer in the market. We have analyzed the learnable traders` strategies and found their behavior are very similar to humans in decision making. We will conduct human subject experiments to validate these results in the near future.
關聯 Proceedings of World Summit on Genetic and Evolutionary Computation
資料類型 conference
DOI http://dx.doi.org/10.1145/1543834.1543948
dc.contributor 政治大學經濟系en_US
dc.creator (作者) Chen,Shu-Heng; Zeng,Ren-Jie; Yu,Tinaen_US
dc.creator (作者) 陳樹衡;曾仁傑-
dc.date (日期) 2010.06en_US
dc.date.accessioned 28-Jul-2011 11:33:57 (UTC+8)-
dc.date.available 28-Jul-2011 11:33:57 (UTC+8)-
dc.date.issued (上傳時間) 28-Jul-2011 11:33:57 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/50649-
dc.description.abstract (摘要) We investigate the dynamics of trader behaviors using a co-evolutionary genetic programming system to simulate a double-auction market. The objective of this study is two-fold. First, we seek to evaluate how, if any, the difference in trader rationality/intelligence influences trading behavior. Second, besides rationality, we also analyze how, if any, the co-evolution between two learnable traders impacts their trading behaviors. We have found that traders with different degrees of rationality may exhibit different behavior depending on the type of market they are in. When the market has a profit zone to explore, the more intelligent trader demonstrate more intelligent behaviors. Also, when the market has two learnable buyers, their co-evolution produced more profitable transactions than when there was only one learnable buyer in the market. We have analyzed the learnable traders` strategies and found their behavior are very similar to humans in decision making. We will conduct human subject experiments to validate these results in the near future.-
dc.language.iso en_US-
dc.relation (關聯) Proceedings of World Summit on Genetic and Evolutionary Computationen_US
dc.title (題名) Analysis of Micro-Behavior and Bounded Rationality in Double Auction Markets Using Co-evolutionary GPen_US
dc.type (資料類型) conferenceen
dc.identifier.doi (DOI) 10.1145/1543834.1543948en_US
dc.doi.uri (DOI) http://dx.doi.org/10.1145/1543834.1543948en_US