Modeling Speculators with Genetic Programming

Title	Modeling Speculators with Genetic Programming
Creator	Chen, Shu-heng;Yeh, Chia-Hsuan 陳樹衡
Contributor	經濟系
Key Words	Genetic Programming; Speculators; No-Trade Theorem; Short Selling;Volatility.
Date	1997
Date Issued	11-May-2015 14:02:50 (UTC+8)
Summary	In spirit of the earlier works done by Arthur (1992) and Palmer et al. (1993), this paper models speculators with genetic programming (GP) in a production economy (Muthian Economy). Through genetic programming, we approximate the consequences of “speculating about the speculations of others”, including the price volatility and the resulting welfare loss. Some of the patterns observed in our simulations are consistent with findings in experimental markets with human subjects. For example, we show that GP-based speculators can be noisy by nature. However, when appropriate financial regulations are imposed, GP-based speculators can also be more informative than noisy.
Relation	Evolutionary Programming , pp. 137-147
Type	book/chapter

dc.contributor	經濟系
dc.creator (作者)	Chen, Shu-heng;Yeh, Chia-Hsuan
dc.creator (作者)	陳樹衡	zh_TW
dc.date (日期)	1997
dc.date.accessioned	11-May-2015 14:02:50 (UTC+8)	-
dc.date.available	11-May-2015 14:02:50 (UTC+8)	-
dc.date.issued (上傳時間)	11-May-2015 14:02:50 (UTC+8)	-
dc.identifier.uri (URI)	http://nccur.lib.nccu.edu.tw/handle/140.119/75069	-
dc.description.abstract (摘要)	In spirit of the earlier works done by Arthur (1992) and Palmer et al. (1993), this paper models speculators with genetic programming (GP) in a production economy (Muthian Economy). Through genetic programming, we approximate the consequences of “speculating about the speculations of others”, including the price volatility and the resulting welfare loss. Some of the patterns observed in our simulations are consistent with findings in experimental markets with human subjects. For example, we show that GP-based speculators can be noisy by nature. However, when appropriate financial regulations are imposed, GP-based speculators can also be more informative than noisy.
dc.format.extent	622759 bytes	-
dc.format.mimetype	application/pdf	-
dc.relation (關聯)	Evolutionary Programming , pp. 137-147
dc.subject (關鍵詞)	Genetic Programming; Speculators; No-Trade Theorem; Short Selling;Volatility.
dc.title (題名)	Modeling Speculators with Genetic Programming
dc.type (資料類型)	book/chapter	en