| dc.contributor | 經濟系 | en_US |
| dc.creator (作者) | Kampouridis, Michael ; Chen, Shu-Heng; Tsang, Edward | en_US |
| dc.creator (作者) | 陳樹衡 | zh_TW |
| dc.date (日期) | 2011 | en_US |
| dc.date.accessioned | 15-Apr-2014 16:28:03 (UTC+8) | - |
| dc.date.available | 15-Apr-2014 16:28:03 (UTC+8) | - |
| dc.date.issued (上傳時間) | 15-Apr-2014 16:28:03 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/65397 | - |
| dc.description.abstract (摘要) | In a previous work, inspired by observations made in many agent-based financial models, we formulatedand presented the Market Fraction Hypothesis, which basically predicts a short duration for any dominanttype of agents, but then a uniform distribution over all types in the long run. We then proposed a two-stepapproach, a rule-inference step, and a rule-clustering step, to test this hypothesis. We employed geneticprogramming as the rule inference engine, and applied self-organizing maps to cluster the inferred rules.We then ran tests for 10 international markets and provided a general examination of the plausibilityof the hypothesis. However, because of the fact that the tests took place under a GP system, it could beargued that these results are dependent on the nature of the GP algorithm. This chapter thus serves asan extension to our previous work. We test the Market Fraction Hypothesis under two new different GPalgorithms, in order to prove that the previous results are rigorous and are not sensitive to the choiceof GP. We thus test again the hypothesis under the same 10 empirical datasets that were used in ourprevious experiments. Our work shows that certain parts of the hypothesis are indeed sensitive on thealgorithm. Nevertheless, this sensitivity does not apply to all aspects of our tests. This therefore allowsus to conclude that our previously derived results are rigorous and can thus be generalized. | en_US |
| dc.format.extent | 186376 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Information Systems for Global Financial Markets: Emerging Developments and Effects, Chapter 3, pp.37-54 | en_US |
| dc.relation (關聯) | ISBN: 9781613501627 | en_US |
| dc.relation (關聯) | ISBN: 9781613501627 | en_US |
| dc.relation (關聯) | IGI Global, 2011 | en_US |
| dc.title (題名) | The Market Fraction Hypothesis under Different GP Algorithms | en_US |
| dc.type (資料類型) | book/chapter | en |
| dc.identifier.doi (DOI) | 10.4018/978-1-61350-162-7.ch003 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.4018/978-1-61350-162-7.ch003 | en_US |
