Optimization of Individual and Regulatory Market Strategies with Genetic Algorithms

Optimization of Individual and Regulatory Market Strategies with Genetic Algorithms

Lukáš Pichl (University of Aizu, Japan) and Ayako Watanabe (Ochanomizu University, Japan)
DOI: 10.4018/978-1-59140-649-5.ch005
OnDemand PDF Download:
$37.50

Abstract

An optimal policy problem is formulated for evolutionary market settings and analyzed in two applications at the micro- and macrolevels. First, individual portfolio policy is studied in case of a fully computerized, multiagent market system. We clarify the conditions under which static approaches—such as constraint optimization with stochastic rates or stochastic programming—apply in coevolutionary markets with strictly maximal players under scaled genetic algorithms. Convergence to global optimum is discussed for (a) coevolution of buying and selling strategies and for (b) coevolution of portfolio strategies and asset distributions over market players. Because only a finite population size in our setting suffices for the asymptotic convergence, the design criteria for genetic algorithm given (explicit cooling scheme for mutation and crossover, exponentiation schedule for fitness-selection) are of practical importance. Second, system optimization policy is studied for a model economy of Kareken and Wallace (1982) type. The income redistribution, monetary and market regulation policies are subjected to a supergenetic algorithm with various objective functions. In particular, the fitness function of a policy (i.e., a supercreature) is computed by means of a conventional genetic algorithm which is applied to the market players (creatures) in a fixed evaluation period. Here, the underlying genetic algorithm drives the infinite market dynamics and the supergenetic algorithm solves the optimal policy problem. Coevolution of consumption and foreign currency saving policies is discussed. Finally, a Java model of a stationary market was developed and made available for use and download.

Complete Chapter List

Search this Book:
Reset
Table of Contents
Chapter 1
Serge Hayward
In this chapter, I consider a design framework of a computational experiment in finance. The examination of statistics used for economic forecasts... Sample PDF
Financial Modeling and Forecasting with an Evolutionary Artificial Neural Network
$37.50
Chapter 2
Christopher Zapart, Satoshi Kishino, Tsutomu Mishina
This chapter describes a new procedure for designing optimum correlation measures for financial time series. The technique attempts to overcome some... Sample PDF
Pricing Basket Options with Optimum Wavelet Correlation Measures
$37.50
Chapter 3
Chui-Che Tseng
The goal of an artificial intelligence decision support system is to provide the human user with an optimized decision recommendation when operating... Sample PDF
Influence Diagram for Investment Portfolio Selection
$37.50
Chapter 4
Senlin Wu, Siddhartha Bhattacharyya
This chapter explores the minimal intelligence conditions for traders in a general double auction market with speculation activities. Using an... Sample PDF
Minimal Intelligence Agents in Double Auction Markets with Speculators
$37.50
Chapter 5
Lukáš Pichl, Ayako Watanabe
An optimal policy problem is formulated for evolutionary market settings and analyzed in two applications at the micro- and macrolevels. First... Sample PDF
Optimization of Individual and Regulatory Market Strategies with Genetic Algorithms
$37.50
Chapter 6
Yuriy Nemyvaka, Katia Sycara, Duane J. Seppi
The goal of this chapter is to establish an analytical foundation for electronic market making. We use two classes of models to reason about this... Sample PDF
Fundamental Issues in Automated Market Making
$37.50
Chapter 7
N. Feltovich
Human-participants experiments using markets with asymmetric information typically exhibit a “winner’s curse,” wherein bidders systematically bid... Sample PDF
Slow Learning in the Market fopr Lemons: A Note on Reinforcement Learning and the Winner's Circle
$37.50
Chapter 8
Yuya Sasaki, Nicholas S. Flann
This chapter demonstrates an application of agent-based selection dynamics to the traffic assignment problem. We introduce an evolutionary dynamic... Sample PDF
Multi-Agent Evolutionary ame Dynamics and Reinforcement Learning Applied to Online Optimization for the Traffic Policy
$37.50
Chapter 9
Edit J. Kaminsky, Holly Danker-McDermot, Freddie Douglas
This chapter discusses artificial computational intelligence methods as applied to cost prediction. We present the development of a suite of hybrid... Sample PDF
Fuzzy-Neural Cost Estimation for Engine Tests
$37.50
Chapter 10
Lukáš Pichl, Takuya Yamano
This chapter focuses on the principles of management in software development projects and optimization tools for managerial decision making... Sample PDF
Computer-Aided Management of Software Development in Small Companies
$37.50
Chapter 11
Ana Marostica, Cesar Briano
This chapter explains a hybrid-decision support system (HDSS) in which a heuristic-data mining procedure (a complement of a statistic-data mining)... Sample PDF
Modern Organizations and Decision-Making Processes: A Heuristic Approach
$37.50
Chapter 12
Seán Boyle, Stephen Guerin, Daniel Kunkle
This chapter reports on a multi-agent approach to the construction of a model of the English criminal justice system. The approach is an integration... Sample PDF
An Application of Multi-Agent Simulation to Policy Appraisal in the Criminal Justice System
$37.50
Chapter 13
Alexei G. Orlov
This chapter constructs a dynamic model of a multinational enterprise (MNE) to quantify the effects of various capital control policies on a firm’s... Sample PDF
Capital Controls and Firm's Dynamics
$37.50
Chapter 14
W. F. Lawless, M. Bergman, N. Feltovich
This chapter constructs a dynamic model of a multinational enterprise (MNE) to quantify the effects of various capital control policies on a firm’s... Sample PDF
A Physics of Organizational Uncertainty: Perturbations, Measurement and Computational Agents
$37.50
Chapter 15
Tsai-Lung Liu, Chia-Chen Kuo
This chapter employs a cross-theory perspective by combining the four theories of agency theory, resource-dependent theory, resource-based theory... Sample PDF
Reducing Agency Problem and Improving Organizational Value-Based Decision-Making Model of Inter-Organizational Strategic Alliance
$37.50
About the Authors