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
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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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