Market Diversity and Market Efficiency: The Approach Based on Genetic Programming   [ME] [GP]

by

Yeh, C.-H. and Chen, S.-H.

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Info: AISB Journal (Journal), 2001, p. 147-167
Keywords:genetic algorithms, genetic programming
Abstract:
The relation between market diversity and market efficiency [ME] has been studied. Economic heterogeneity is a fundamental driving force and an essential property in the economic systems. People who have different perspectives, technologies, or endowments may benefit from their trading behaviour which constitutes economic activities. In this paper, economic simulation based on the growing field of artificial stock markets [ASM] [SM] is employed to study this issue. Market size and different learning styles are used to discuss the influence of heterogeneity. Simulation results have demonstrated that more participants and individual learning [IL] cause higher degree of traders' diversity, which, in turn, enhances market efficiency. [ME]
Notes:
Department of Information Management, Yuan Ze University, Chungli, Taoyuan 320, Taiwan, imcyeh@saturn.yzu.edu.tw Department of Economics, National Chengchi University, Taipei 11623, Taiwan, chchen@nccu.edu.tw
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BibTex:
@Article{Yeh:2001:AISBj,
  author =       "Chia-Hsuan Yeh and Shu-Heng Chen",
  title =        "Market Diversity and Market Efficiency: The Approach
                 Based on Genetic Programming",
  journal =      "AISB Journal",
  year =         "2001",
  volume =       "1",
  number =       "1",
  pages =        "147--167",
  keywords =     "genetic algorithms, genetic programming",
  URL =          "http://www.aisb.org.uk/publications/aisbj/issues/AISBJ%201(1).pdf",
  abstract =     "The relation between market diversity and market
                 efficiency has been studied. Economic heterogeneity is
                 a fundamental driving force and an essential property
                 in the economic systems. People who have different
                 perspectives, technologies, or endowments may benefit
                 from their trading behaviour which constitutes economic
                 activities. In this paper, economic simulation based on
                 the growing field of artificial stock markets is
                 employed to study this issue. Market size and different
                 learning styles are used to discuss the influence of
                 heterogeneity. Simulation results have demonstrated
                 that more participants and individual learning cause
                 higher degree of traders' diversity, which, in turn,
                 enhances market efficiency.",
  notes =        "Department of Information Management, Yuan Ze
                 University, Chungli, Taoyuan 320, Taiwan,
                 imcyeh@saturn.yzu.edu.tw

                 Department of Economics, National Chengchi University,
                 Taipei 11623, Taiwan, chchen@nccu.edu.tw",
}