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題名 Modeling Speculators with Genetic Programming
作者 Chen, Shu-heng;Yeh, Chia-Hsuan
陳樹衡
貢獻者 經濟系
關鍵詞 Genetic Programming; Speculators; No-Trade Theorem; Short Selling;Volatility.
日期 1997
上傳時間 11-五月-2015 14:02:50 (UTC+8)
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.
關聯 Evolutionary Programming , pp. 137-147
資料類型 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 11-五月-2015 14:02:50 (UTC+8)-
dc.date.available 11-五月-2015 14:02:50 (UTC+8)-
dc.date.issued (上傳時間) 11-五月-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/chapteren