Toward a computable approach to the efficient market hypothesis: an application of genetic programming

Article Abstract:

A biological-search program, inspired by the genetic programming paradigm proposed by Koza (1992), has been cited effective in evaluating the unpredictability of efficient market hypothesis. Through this method, the concept of search programming is treated in way that both predictability and profitability are taken into account. Designed to adapt with the general style of evolutionary computation, the method is capable of beating 50% of random walk, which traditional linear models are incapable of achieving. The GP method was also evaluated through chaotic time series applications.

Economics, Research and Development in the Social Sciences and Humanities, Evaluation, Chaos theory, Chaotic systems, Random walks (Mathematics), Random walk theory, Efficient market theory

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Dealer market structure, outside competition, and the bid-ask spread

Article Abstract:

Studies have shown that the number of securities dealers is negatively correlated with market spread. However, the economic causes and consequences of that correlation is not fully understood. To adress the problem, the correlations between the number of dealers, extent of outside competition and market bid-ask spread for NASDAQ's National Market System Stocks were examined. A model was used to describe the dealers' interactions as their inventories change, and also to predict how the extent of outside competition affects the bid-ask spread and the number of dealers.

Securities & Commodities Exchanges, NASDAQ Market System, Over-the-counter markets, Over the counter markets

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Evolving traders and the business school with genetic programming: a new architecture of the agent-based artificial stock market

Article Abstract:

The authors use an agent-based model incorporating psychological and economic factors to discover how successful stock trading occurs. The results are similar to those found with an efficient market model.

Taiwan, Securities Exchanges, Statistical Data Included, Securities industry

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