Co-Evolving Trading Strategies to Analyze Bounded Rationality in Double Auction Markets

Created by W.Langdon from gp-bibliography.bib Revision:1.8010

@InCollection{Chen:2008:GPTP,

• author = "Shu-Heng Chen and Ren-Jie Zeng and Tina Yu",
• title = "Co-Evolving Trading Strategies to Analyze Bounded Rationality in Double Auction Markets",
• booktitle = "Genetic Programming Theory and Practice {VI}",
• year = "2008",
• editor = "Rick L. Riolo and Terence Soule and Bill Worzel",
• series = "Genetic and Evolutionary Computation",
• chapter = "13",
• pages = "195--215",
• address = "Ann Arbor",
• month = "15-17 " # may,
• publisher = "Springer",
• URL = "http://www.cs.mun.ca/~tinayu/Publications_files/gptp2008.pdf",
• DOI = "doi:10.1007/978-0-387-87623-8_13",
• size = "20 pages",
• isbn13 = "978-0-387-87622-1",
• notes = "part of \cite{Riolo:2008:GPTP} published in 2009",
• keywords = "genetic algorithms, genetic programming, bounded rationality, zero-intelligence, agent-based modelling, human subject experiments, auction markets design, double-auction markets, macroeconomics, trading strategies, software agents, market simulation, market efficiency",
• size = "19 pages",
• abstract = "We investigate double-auction (DA) market behaviour under traders with different degrees of rationality (intelligence or cognitive ability). The rationality of decision making is implemented using genetic programming (GP), where each trader evolves a population of strategies to conduct an auction. By assigning the GP traders different population sizes to differentiate their cognitive ability, through a series of simulations, we find that increasing the traders intelligence improves the markets efficiency. However, increasing the number of intelligent traders in the market leads to a decline in the markets efficiency. By analysing the individual GP traders strategies and their co-evolution dynamics, we provide explanations to these emerging market phenomena. While auction markets are gaining popularity on the Internet, the insights can help market designers devise robust and efficient auction e-markets.",

}

Genetic Programming entries for Shu-Heng Chen Ren-Jie Zeng Tina Yu

Citations