Construction and Analysis of Artificial Stock Markets Using ADG; Automatically Defined Groups
Akira Hara, Tomoharu Nagao · Computational intelligence · 2001
With the aim of analyzing the mechanism of the price change, we construct an artificial market composed of multiple agents whose investment strategies are represented by tree-shaped programs.The market is optimized by using a Genetic Programming so that the change of its price resembles that of stock market statistically.In order to perform an efficient optimization and to analyze agents 'behavior easily, we use ADG; Automatically Defined Groups previously proposed by authors.We show experimentally that complex changes like real market appears in the proposed artificial market.