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The role of intelligence in time series properties

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  • Chia-Hsuan Yeh

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    File URL: http://hdl.handle.net/10.1007/s10614-007-9089-z
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    Bibliographic Info

    Article provided by Society for Computational Economics in its journal Computational Economics.

    Volume (Year): 30 (2007)
    Issue (Month): 2 (September)
    Pages: 95-123

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    Handle: RePEc:kap:compec:v:30:y:2007:i:2:p:95-123

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    Web page: http://www.springerlink.com/link.asp?id=100248
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    Related research

    Keywords: Intelligence; Artificial stock market; Double auction; Agent-based modeling; Genetic programming; D83; D84; G11; G12;

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Gode, Dhananjay K & Sunder, Shyam, 1993. "Allocative Efficiency of Markets with Zero-Intelligence Traders: Market as a Partial Substitute for Individual Rationality," Journal of Political Economy, University of Chicago Press, vol. 101(1), pages 119-37, February.
    2. repec:att:wimass:9625 is not listed on IDEAS
    3. Theodore W. Schultz, 1962. "Reflections on Investment in Man," Journal of Political Economy, University of Chicago Press, vol. 70, pages 1.
    4. Paul Brewer & Maria Huang & Brad Nelson & Charles Plott, 2002. "On the Behavioral Foundations of the Law of Supply and Demand: Human Convergence and Robot Randomness," Experimental Economics, Springer, vol. 5(3), pages 179-208, December.
    5. Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
    6. LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233 Elsevier.
    7. W. Brian Arthur & John H. Holland & Blake LeBaron & Richard Palmer & Paul Taylor, 1996. "Asset Pricing Under Endogenous Expectation in an Artificial Stock Market," Working Papers 96-12-093, Santa Fe Institute.
    8. Shu-Heng Chen & Chung-Ching Tai, 2003. "Trading Restrictions, Price Dynamics And Allocative Efficiency In Double Auction Markets: Analysis Based On Agent-Based Modeling And Simulations," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 283-302.
    9. repec:att:wimass:9725 is not listed on IDEAS
    10. LeBaron, Blake & Arthur, W. Brian & Palmer, Richard, 1999. "Time series properties of an artificial stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1487-1516, September.
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    Cited by:
    1. Chia-Hsuan Yeh & Chun-Yi Yang, 2013. "Do price limits hurt the market?," Journal of Economic Interaction and Coordination, Springer, vol. 8(1), pages 125-153, April.

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