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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

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