[PDF] Top 20 Price Discovery in Agent-Based Computational Modeling of Artificial Stock Markets

... behavior of price discovery within a context of an agent based stock market, in which the twin assumptions, namely, rational expectations and the representative ... See full document

... behavior of price discovery within a context of an agent based stock market, in which the twin assumptions, namely, rational expectations and the representative ... See full document

... macro-phenomena of our artificial society, e.g. the joint dynamics of prices and trading volume; but we can also watch the micro-behavior of ev- ery heterogeneous agents to the details ... See full document

... Search In Chen and Yeh (2000), the rank function plays a role in transmitting the peer pressure received by traders to their search ...sensitivity of traders’ search intensity to peer ...types ... See full document

... rate of 1.1%. However, the revenue curve is not unimodular; in addition to = 40%, it also peaks at = ...settings of the parameter values can lead to different results? Or are we by luck, for example, ... See full document

... one of the drawbacks of SGP-based framework is that the traders can’t work out new ideas by ...researchers in the business school. In order to make the traders more intelligent, we ... See full document

... cost of ten securities, including stocks, Exchange-Traded Funds (ETFs) and Real Estate Investment Trusts (REITs), in Taiwan stock market and compared this result with the simulated cost of our ... See full document

... Approach Based on Genetic-Programming Articial Markets.. Shu-Heng Chen.[r] ... See full document

... types of robust extreme values can be adopted like the next-ith-to-max (min) and the average of the top 5% observations and the bottom 5% observations, ...relevant in considerations such as the ... See full document

... mean of this subperiod and keep observations in other subperiod ...China stock returns are positive while other returns are negative during the same sample ...panels of the table, CTO is much ... See full document

... behavior of our autonomous agents. At the end of the paper, we would like to point out several directions for further ...choice of a highly static environment is not necessary, but it does make it ... See full document

... that in general GP can successfully find a way out of ...advantages of non-adaptive traders. In other words, all traders have the incentive to ...market in the context of a multi- ... See full document

... investors in emerging markets are often compensated for bearing relevant local market risk, while investors in developed markets are often penalized by bearing irrelevant local market ... See full document

... use of GP as an alternative is motivated by considering the market as an evolutionary and selective ...5 In this process, traders with different behav- ioral rules participate to the ...result in ... See full document

... and stock prices has been a widely debated issue within academic circles and among practitioners, ...equity markets tends to show conflicting results, most of the empirical evidence seems to support ... See full document

... autocorrelation in our model whose null hypothesis is ‘there is no serial correlation in the model residuals (or squared ...validity of the volatility equation and Q(20) to check the adequacy ... See full document

... received in revised form 4 June 2003; accepted 4 June 2003 Abstract The growth of electronic-markets (e-markets) necessitates the processing of many commerce protocols ...flows ... See full document

... existence of the prices of foreign exchange risk for the Paci®c Basin equity ...matrix of the unconstrained model, which was the international ...degrees of freedom. The result is reported ... See full document

... variables, influencing the conditional ...ponent of the detrended series is interpreted as the daily activity ...component of the detrended series ...ponents of trade volume and open interest ... See full document

... appreciates in the long run. De- spite the popularity of the REIT mechanism in Asia, some unique char- acteristics of Asian REITs are worth ...REITs in Asia do not allow funds to invest ... See full document