Article

Explorations in LCS Models of Stock Trading

Authors:

Sonia Schulenburg,

Peter RossAuthors Info & Claims

IWLCS '01: Revised Papers from the 4th International Workshop on Advances in Learning Classifier Systems

Pages 151 - 180

Published: 07 July 2001 Publication History

Abstract

In previous papers we have described the basic elements for building an economic model consisting of a group of artificial traders functioning and adapting in an environment containing real stock market information. We have analysed the feasibility of the proposed approach by comparing the final wealth generated by such agents over a period of time, against the wealth of a number of well known investment strategies, including the bank, buy-and-hold and trend-following strategies. In this paper we review classical economic theories and introduce a new strategy inspired by the Efficient Market Hypothesis (named here random walk to compare the performance of our traders. In order to build better trader models we must increase our understanding about how artificial agents learn and develop; in this paper we address a number of design issues, including the analysis of information sets and evolved strategies. Specifically, the results presented here correspond to the stock of IBM.

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Cited By

Preen RRothlauf F(2009)An XCS approach to forecasting financial time seriesProceedings of the 11th Annual Conference Companion on Genetic and Evolutionary Computation Conference: Late Breaking Papers10.1145/1570256.1570372(2625-2632)Online publication date: 8-Jul-2009
https://dl.acm.org/doi/10.1145/1570256.1570372
Wong SSchulenburg SBosman PYu TEkárt A(2007)Portfolio allocation using XCS experts in technical analysis, market conditions and options marketProceedings of the 9th annual conference companion on Genetic and evolutionary computation10.1145/1274000.1274065(2965-2972)Online publication date: 7-Jul-2007
https://dl.acm.org/doi/10.1145/1274000.1274065
Kwon YChoi SMoon BO'Reilly U(2005)Stock prediction based on financial correlationProceedings of the 7th annual conference on Genetic and evolutionary computation10.1145/1068009.1068351(2061-2066)Online publication date: 25-Jun-2005
https://dl.acm.org/doi/10.1145/1068009.1068351

Index Terms

Explorations in LCS Models of Stock Trading
1. Applied computing
  1. Enterprise computing
  2. Law, social and behavioral sciences
    1. Economics

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cover image Guide Proceedings

IWLCS '01: Revised Papers from the 4th International Workshop on Advances in Learning Classifier Systems

July 2001

227 pages

ISBN:3540437932

Publisher

Springer-Verlag

Berlin, Heidelberg

Publication History

Published: 07 July 2001

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Cited By

Preen RRothlauf F(2009)An XCS approach to forecasting financial time seriesProceedings of the 11th Annual Conference Companion on Genetic and Evolutionary Computation Conference: Late Breaking Papers10.1145/1570256.1570372(2625-2632)Online publication date: 8-Jul-2009
https://dl.acm.org/doi/10.1145/1570256.1570372
Wong SSchulenburg SBosman PYu TEkárt A(2007)Portfolio allocation using XCS experts in technical analysis, market conditions and options marketProceedings of the 9th annual conference companion on Genetic and evolutionary computation10.1145/1274000.1274065(2965-2972)Online publication date: 7-Jul-2007
https://dl.acm.org/doi/10.1145/1274000.1274065
Kwon YChoi SMoon BO'Reilly U(2005)Stock prediction based on financial correlationProceedings of the 7th annual conference on Genetic and evolutionary computation10.1145/1068009.1068351(2061-2066)Online publication date: 25-Jun-2005
https://dl.acm.org/doi/10.1145/1068009.1068351

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