Comparative study of central decision makers versus groups of evolved agents trading in equity markets
AbstractThis paper investigates the process of deriving a single decision solely based on the decisions made by a population of experts. Four different amalgamation processes are studied and compared among one another, collectively referred to as central decision makers. The expert, also referred to as reference, population is trained using a simple genetic algorithm using crossover, elitism and immigration using historical equity market data to make trading decisions. Performance of the trained agent populationâ€™s elite, as determined by results from testing in an out-of-sample data set, is also compared to that of the centralized decision makers to determine which displays the better performance. Performance was measured as the area under their total assets graph over the out-of-sample testing period to avoid biasing results to the cut off date using the more traditional measure of profit. Results showed that none of the implemented methods of deriving a centralized decision in this investigation outperformed the evolved and optimized agent population. Further, no difference in performance was found between the four central decision makers
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 410.
Date of creation: 04 Jul 2006
Date of revision:
Agents; Decision Making; Equity Market Trading; Genetic Algorithms; Technical Indicators;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-07-15 (All new papers)
- NEP-CMP-2006-07-15 (Computational Economics)
- NEP-FIN-2006-07-15 (Finance)
- NEP-FMK-2006-07-15 (Financial Markets)
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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Staff General Research Papers
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- Tesfatsion, Leigh S., 2001. "Introduction to the Special Issue on Agent-Based Computational Economics," Staff General Research Papers 1915, Iowa State University, Department of Economics.
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