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ATAL
2006
Springer

Evolutionary Optimization of ZIP60: A Controlled Explosion in Hyperspace

14 years 2 months ago
Evolutionary Optimization of ZIP60: A Controlled Explosion in Hyperspace
The "ZIP" adaptive trading algorithm has been demonstrated to outperform human traders in experimental studies of continuous double auction (CDA) markets. The original ZIP algorithm requires the values of eight control parameters to be set correctly. A new extension of the ZIP algorithm, called ZIP60, requires the values of 60 parameters to be set correctly. ZIP60 is shown here to produce significantly better results than the original ZIP (called "ZIP8" hereafter). A genetic algorithm (GA) is used to search the 60-dimensional ZIP60 parameter space, and it finds parameter vectors that yield ZIP60 traders with mean scores significantly better than those of ZIP8s. This paper shows that this optimizing evolutionary search works best when the GA itself controls the dimensionality of the search-space, so that the search commences in an 8-d space and thereafter the dimensionality of the searchspace is gradually increased by the GA until it is exploring a 60-d space. Furth...
Dave Cliff
Added 20 Aug 2010
Updated 20 Aug 2010
Type Conference
Year 2006
Where ATAL
Authors Dave Cliff
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