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EPS
1997
Springer

Modeling Speculators with Genetic Programming

9 years 6 months ago
Modeling Speculators with Genetic Programming
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. Key Words: Genetic Programming, Speculators, No-Trade Theorem, Short Selling, Volatility. 1 Motivation and Literature Review While it has been suspected for quite a long time that speculators can be destructive for the stability of markets, this property has not been successfully revealed from many formal models of spe...
Shu-Heng Chen, Chia-Hsuan Yeh
Added 07 Aug 2010
Updated 07 Aug 2010
Type Conference
Year 1997
Where EPS
Authors Shu-Heng Chen, Chia-Hsuan Yeh
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