Title :
Genetic Network Programming for Artificial Stock Market
Author :
Cheng, Yang ; Shixin, Sun ; Zhilong, Xie
Author_Institution :
Sch. of Comput. Sci. & Eng., Univ. of Electron. Sci. & Technol. of China, Chengdu
Abstract :
Combined with the idea of Austrian school of economics, this paper proposes a new multi-agent model for artificial stock market based on genetic network programming. It focuses on applying the GNP approach to emulate investment behavior of agents and evolve their trading rules. Simultaneously, this model enhances the heterogeneity of agents, and searches for an optimal combination of parameter values based on GA. Simulation results confirm the effectiveness of this GNP-ASM model through comparison with empirical statistics
Keywords :
genetic algorithms; investment; multi-agent systems; stock markets; GNP-ASM model; artificial stock market; genetic network programming; investment behaviour; multiagent model; Competitive intelligence; Computational and artificial intelligence; Economic forecasting; Economic indicators; Educational institutions; Environmental economics; Genetics; Intelligent agent; Investments; Stock markets;
Conference_Titel :
Communications, Circuits and Systems Proceedings, 2006 International Conference on
Conference_Location :
Guilin
Print_ISBN :
0-7803-9584-0
Electronic_ISBN :
0-7803-9585-9
DOI :
10.1109/ICCCAS.2006.285088
