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Using an Evolutionary Agent-Based Simulation to Explore Hedging Pressure in Futures Markets

Duke, J; Clack, CD; (2007) Using an Evolutionary Agent-Based Simulation to Explore Hedging Pressure in Futures Markets. In: GECCO 2007: GENETIC AND EVOLUTIONARY COMPUTATION CONFERENCE, VOL 1 AND 2. (pp. 2257 - 2257). ASSOC COMPUTING MACHINERY

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Abstract

We have developed to real world application that models a financial futures market. The agent-based simulation includes Speculator agents each of which uses a Genetic Algorithm (GA) to improve it's profitability in the market. This is a realistic simulation whose rates-of-return distribution is similar to those Of real futures markets such as corn.

Type: Proceedings paper
Title: Using an Evolutionary Agent-Based Simulation to Explore Hedging Pressure in Futures Markets
Event: Annual Conference of Genetic and Evolutionary Computation Conference
Location: London, ENGLAND
Dates: 2007-07-07 - 2007-07-11
ISBN-13: 978-1-59593-697-4
Keywords: Genetic Algorithms, Finance, Agents, Adaptation
UCL classification: UCL > School of BEAMS > Faculty of Engineering Science > Computer Science
URI: http://discovery.ucl.ac.uk/id/eprint/124591
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