%0 Book Section %1 ChenLiao:2002:gagpcf %A Chen, Shu-Heng %A Liao, Chung-Chih %B Genetic Algorithms and Genetic Programming in Computational Finance %D 2002 %E Chen, Shu-Heng %I Kluwer Academic Press %K Agent-Based Computational Discovery, Equilibrium, Excessive Expectation Finance, Homogeneous Price Rational Volatility algorithms, genetic programming, %P 335--356? %T Price Discovery in Agent-Based Computational Modeling of the Artificial Stock Market %U http://www.aiecon.org/staff/shc/pdf/apga002.pdf %X the behaviour of price discovery within a context of an agent based stock market, in which the twin assumptions, namely, rational expectations and the representative agents normally made in mainstream economics, are removed. In this model, traders stochastically update their forecasts by searching the business school whose evolution is driven by genetic programming. Via these agent based simulations, it is found that, except for some extreme cases, the mean prices generated from these artificial markets deviate from the homogeneous rational expectation equilibrium (HREE) prices no more than by 20per cent. This figure provides us a rough idea on how different we can possibly be when the twin assumptions are not taken. Furthermore, while the HREE price should be a deterministic constant in all of our simulations, the artificial price series generated exhibit quite wild fluctuation, which may be coined as the well-known excessive volatility in finance. %& 16 %@ 0-7923-7601-3

@incollection{ChenLiao:2002:gagpcf, abstract = {the behaviour of price discovery within a context of an agent based stock market, in which the twin assumptions, namely, rational expectations and the representative agents normally made in mainstream economics, are removed. In this model, traders stochastically update their forecasts by searching the business school whose evolution is driven by genetic programming. Via these agent based simulations, it is found that, except for some extreme cases, the mean prices generated from these artificial markets deviate from the homogeneous rational expectation equilibrium (HREE) prices no more than by 20per cent. This figure provides us a rough idea on how different we can possibly be when the twin assumptions are not taken. Furthermore, while the HREE price should be a deterministic constant in all of our simulations, the artificial price series generated exhibit quite wild fluctuation, which may be coined as the well-known excessive volatility in finance.}, added-at = {2008-06-19T17:35:00.000+0200}, author = {Chen, Shu-Heng and Liao, Chung-Chih}, biburl = {https://www.bibsonomy.org/bibtex/242ca0ce994103f97e50392fe4c7c851e/brazovayeye}, booktitle = {Genetic Algorithms and Genetic Programming in Computational Finance}, chapter = 16, editor = {Chen, Shu-Heng}, interhash = {322a8f97f2a577707078bd61099fdaec}, intrahash = {42ca0ce994103f97e50392fe4c7c851e}, isbn = {0-7923-7601-3}, keywords = {Agent-Based Computational Discovery, Equilibrium, Excessive Expectation Finance, Homogeneous Price Rational Volatility algorithms, genetic programming,}, notes = {part of \cite{chen:2002:gagpcf}}, pages = {335--356?}, publisher = {Kluwer Academic Press}, size = {8 pages}, timestamp = {2008-06-19T17:37:45.000+0200}, title = {Price Discovery in Agent-Based Computational Modeling of the Artificial Stock Market}, url = {http://www.aiecon.org/staff/shc/pdf/apga002.pdf}, year = 2002 }