Sciweavers

Share
GECCO
2009
Springer

Analysis of micro-behavior and bounded rationality in double auction markets using co-evolutionary GP

10 years 9 months ago
Analysis of micro-behavior and bounded rationality in double auction markets using co-evolutionary GP
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 twofold. 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...
Shu-Heng Chen, Ren-Jie Zeng, Tina Yu
Added 26 May 2010
Updated 26 May 2010
Type Conference
Year 2009
Where GECCO
Authors Shu-Heng Chen, Ren-Jie Zeng, Tina Yu
Comments (0)
books