Duke, J and 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
Full text not available from this repository.
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.
|Title:||Using an Evolutionary Agent-Based Simulation to Explore Hedging Pressure in Futures Markets|
|Event:||Annual Conference of Genetic and Evolutionary Computation Conference|
|Dates:||2007-07-07 - 2007-07-11|
|Keywords:||Genetic Algorithms, Finance, Agents, Adaptation|
|UCL classification:||UCL > School of BEAMS > Faculty of Engineering Science > Computer Science|
Archive Staff Only: edit this record