Cited By
View all- Chen SZeng RYu TWang S(2012)Bounded Rationality and Market Micro-BehaviorsComputer Engineering10.4018/978-1-61350-456-7.ch518(1352-1369)Online publication date: 2012
Analysis of micro-behavior and bounded rationality in double auction markets using co-evolutionary GP
Pages 807 - 810
Abstract
We investigate the dynamics of trader behaviors using a co-evolutionary genetic programming system to simulate a double-auction market. The objective of this study is two-fold. First, we seek to evaluate how, if any, the difference in trader rationality/intelligence influences trading behavior. Second, besides rationality, we also analyze how, if any, the co-evolution between two learnable traders impacts their trading behaviors. We have found that traders with different degrees of rationality may exhibit different behavior depending on the type of market they are in. When the market has a profit zone to explore, the more intelligent trader demonstrate more intelligent behaviors. Also, when the market has two learnable buyers, their co-evolution produced more profitable transactions than when there was only one learnable buyer in the market. We have analyzed the learnable traders' strategies and found their behavior are very similar to humans in decision making. We will conduct human subject experiments to validate these results in the near future.
References
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S.-H. Chen and C.-C. Tai. Trading restrictions, price dynamics and allocative efficiency in double auction markets: an analysis based on agent-based modeling and simulations. Advances in Complex Systems, 6(3):283 -- 302, 2003.
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S.-H. Chen, R.-J. Zeng, and T. Yu. Co-evolving trading strategies to analyze bounded rationality in double auction markets. In R. Riolo, T. Soule and B. Worzel, editors, Genetic Programming: Theory and Practice VI, pages 195 -- 213. Springer, 2009.
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S.-H. Chen, R.-J. Zeng, and T. Yu. Bounded Rationality and Market Micro-Behaviors: Case Studies Based on Agent-Based Double Auction Markets submitted, 2009.
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J. R. Koza. Genetic Programming: On the Programming of Computers by Means of Natural Selection, MIT Press, 1992.
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A. E. Roth and A. Ockenfels. Last-minute bidding and the rules for ending second-price auction: evidence from Ebay and Amazon auctions on the Internet. American Economic Review, 92:1093 -- 1103, 2002.
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H. A. Simon. Behavioral economics and bounded rationality. In H. A. Simon, editor, Models of Bounded Rationality, pages 267 -- 298. MIT Press, 1997.
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Index Terms
- Analysis of micro-behavior and bounded rationality in double auction markets using co-evolutionary GP
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Published In
June 2009
1112 pages
ISBN:9781605583266
DOI:10.1145/1543834
- General Chairs:
- Lihong Xu,
- Erik D. Goodman,
- Program Chairs:
- Guoliang Chen,
- Darrell Whitley,
- Yongsheng Ding
Copyright © 2009 Copyright is held by the author/owner(s).
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Association for Computing Machinery
New York, NY, United States
Publication History
Published: 12 June 2009
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GEC '09: GEC '09 - ACM/SIGEVO Genetic and Evolutionary Computation Summit
June 12 - 14, 2009
Shanghai, China
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View all- Chen SZeng RYu TWang S(2012)Bounded Rationality and Market Micro-BehaviorsComputer Engineering10.4018/978-1-61350-456-7.ch518(1352-1369)Online publication date: 2012
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