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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/65397


    Title: The Market Fraction Hypothesis under Different GP Algorithms
    Authors: Kampouridis, Michael;Chen, Shu-Heng;Tsang, Edward
    陳樹衡
    Contributors: 經濟系
    Date: 2011
    Issue Date: 2014-04-15 16:28:03 (UTC+8)
    Abstract: In a previous work, inspired by observations made in many agent-based financial models, we formulated
    and presented the Market Fraction Hypothesis, which basically predicts a short duration for any dominant
    type of agents, but then a uniform distribution over all types in the long run. We then proposed a two-step
    approach, a rule-inference step, and a rule-clustering step, to test this hypothesis. We employed genetic
    programming as the rule inference engine, and applied self-organizing maps to cluster the inferred rules.
    We then ran tests for 10 international markets and provided a general examination of the plausibility
    of the hypothesis. However, because of the fact that the tests took place under a GP system, it could be
    argued that these results are dependent on the nature of the GP algorithm. This chapter thus serves as
    an extension to our previous work. We test the Market Fraction Hypothesis under two new different GP
    algorithms, in order to prove that the previous results are rigorous and are not sensitive to the choice
    of GP. We thus test again the hypothesis under the same 10 empirical datasets that were used in our
    previous experiments. Our work shows that certain parts of the hypothesis are indeed sensitive on the
    algorithm. Nevertheless, this sensitivity does not apply to all aspects of our tests. This therefore allows
    us to conclude that our previously derived results are rigorous and can thus be generalized.
    Relation: Information Systems for Global Financial Markets: Emerging Developments and Effects, Chapter 3, pp.37-54
    ISBN: 9781613501627
    ISBN: 9781613501627
    IGI Global, 2011
    Data Type: book/chapter
    DOI 連結: http://dx.doi.org/10.4018/978-1-61350-162-7.ch003
    DOI: 10.4018/978-1-61350-162-7.ch003
    Appears in Collections:[經濟學系] 專書/專書篇章

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