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Modeling speculators with genetic programming

  • Shu-Heng Chen
  • Chia-Hsuan Yeh
Genetic Programming: Issues and Applications
Part of the Lecture Notes in Computer Science book series (LNCS, volume 1213)

Abstract

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 

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Copyright information

© Springer-Verlag Berlin Heidelberg 1997

Authors and Affiliations

  • Shu-Heng Chen
    • 1
  • Chia-Hsuan Yeh
    • 1
  1. 1.AI-ECON Research Group Department of EconomicsNational Chengchi UniversityTaipeiTaiwan

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