Comparative study of central decision makers versus groups of evolved agents trading in equity markets
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Tesfatsion, Leigh, 2001.
"Introduction to the special issue on agent-based computational economics,"
Journal of Economic Dynamics and Control, Elsevier, vol. 25(3-4), pages 281-293, March.
- Tesfatsion, Leigh S., 2001. "Introduction to the Special Issue on Agent-Based Computational Economics," Staff General Research Papers Archive 10038, Iowa State University, Department of Economics.
- Tesfatsion, Leigh S., 2001. "Introduction to the Special Issue on Agent-Based Computational Economics," Staff General Research Papers Archive 1915, Iowa State University, Department of Economics.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Allen, Franklin & Karjalainen, Risto, 1999. "Using genetic algorithms to find technical trading rules," Journal of Financial Economics, Elsevier, vol. 51(2), pages 245-271, February.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Meredith Beechey & David Gruen & James Vickery, 2000. "The Efficient Market Hypothesis: A Survey," RBA Research Discussion Papers rdp2000-01, Reserve Bank of Australia.
- Ioana-Andreea Boboc & Mihai-Cristian Dinică, 2013. "An Algorithm for Testing the Efficient Market Hypothesis," PLOS ONE, Public Library of Science, vol. 8(10), pages 1-11, October.
- Pernagallo, Giuseppe & Torrisi, Benedetto, 2020.
"Blindfolded monkeys or financial analysts: Who is worth your money? New evidence on informational inefficiencies in the U.S. stock market,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
- Giuseppe Pernagallo & Benedetto Torrisi, 2019. "Blindfolded monkeys or financial analysts: who is worth your money? New evidence on informational inefficiencies in the U.S. stock market," Papers 1904.03488, arXiv.org, revised Oct 2019.
- Manuel Ammann & Christian Zenkner, 2003. "Tactical Asset Allocation mit Genetischen Algorithmen," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 139(I), pages 1-40, March.
- Hakan Er & Adnan Hushmat, 2017. "The application of technical trading rules developed from spot market prices on futures market prices using CAPM," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 7(3), pages 313-353, December.
- He, Xue-Zhong & Li, Kai, 2015. "Profitability of time series momentum," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 140-157.
- Lukas Menkhoff & Mark P. Taylor, 2007.
"The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis,"
Journal of Economic Literature, American Economic Association, vol. 45(4), pages 936-972, December.
- Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals : Technical Analysis," The Warwick Economics Research Paper Series (TWERPS) 769, University of Warwick, Department of Economics.
- Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Hannover Economic Papers (HEP) dp-352, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Economic Research Papers 269739, University of Warwick - Department of Economics.
- Terence Tai-Leung Chong & Wing-Kam Ng & Venus Khim-Sen Liew, 2014.
"Revisiting the Performance of MACD and RSI Oscillators,"
JRFM, MDPI, vol. 7(1), pages 1-12, February.
- Chong, Terence Tai-Leung & Ng, Wing-Kam & Liew, Venus Khim-Sen, 2014. "Revisiting the Performance of MACD and RSI Oscillators," MPRA Paper 54149, University Library of Munich, Germany.
- Jin Zhang & Dietmar Maringer, 2016. "Using a Genetic Algorithm to Improve Recurrent Reinforcement Learning for Equity Trading," Computational Economics, Springer;Society for Computational Economics, vol. 47(4), pages 551-567, April.
- Zhu, Yingzi & Zhou, Guofu, 2009. "Technical analysis: An asset allocation perspective on the use of moving averages," Journal of Financial Economics, Elsevier, vol. 92(3), pages 519-544, June.
- Lee, Chun I & Gleason, Kimberly C. & Mathur, Ike, 2001. "Trading rule profits in Latin American currency spot rates," International Review of Financial Analysis, Elsevier, vol. 10(2), pages 135-156.
- M. A. H. Dempster & C. M. Jones, 2002. "Can channel pattern trading be profitably automated?," The European Journal of Finance, Taylor & Francis Journals, vol. 8(3), pages 275-301.
- Yochanan Shachmurove & Uri BenZion & Paul Klein & Joseph Yagil, 2001. "A Moving Average Comparison of the Tel-Aviv 25 and S&P 500 Stock Indices," Penn CARESS Working Papers 4731f3394c43bebf4d3191c81, Penn Economics Department.
- Ausloos, Marcel & Jovanovic, Franck & Schinckus, Christophe, 2016.
"On the “usual” misunderstandings between econophysics and finance: Some clarifications on modelling approaches and efficient market hypothesis,"
International Review of Financial Analysis, Elsevier, vol. 47(C), pages 7-14.
- Marcel Ausloos & Franck Jovanovic & Christophe Schinckus, 2016. "On the "usual" misunderstandings between econophysics and finance: some clarifications on modelling approaches and efficient market hypothesis," Papers 1606.02045, arXiv.org.
- Marcel Ausloos & Franck Jovanovic & Christophe Schinckus, 2016. "On the “usual” misunderstandings between econophysics and finance: Some clarifications on modelling approaches and efficient market hypothesis," Post-Print hal-03532890, HAL.
- Giovanni Ferri & Doris Neuberger, 2014.
"The Banking Regulatory Bubble and How to Get out of It,"
Rivista di Politica Economica, SIPI Spa, issue 2, pages 39-69, April-Jun.
- Giovanni Ferri & Doris Neuberger, 2014. "The Banking Regulatory Bubble and How to Get out of It," CERBE Working Papers wpC01, CERBE Center for Relationship Banking and Economics.
- Rafał Dreżewski & Grzegorz Dziuban & Karol Pająk, 2018. "The Bio-Inspired Optimization of Trading Strategies and Its Impact on the Efficient Market Hypothesis and Sustainable Development Strategies," Sustainability, MDPI, vol. 10(5), pages 1-45, May.
- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
- Julián Andrada-Félix & Fernando Fernández-Rodríguez, 2008. "Improving moving average trading rules with boosting and statistical learning methods," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(5), pages 433-449.
- Andrei Shynkevich, 2021. "Impact of bitcoin futures on the informational efficiency of bitcoin spot market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 115-134, January.
- Andrea Frattini & Ilaria Bianchini & Alessio Garzonio & Lorenzo Mercuri, 2022. "Financial Technical Indicator and Algorithmic Trading Strategy Based on Machine Learning and Alternative Data," Risks, MDPI, vol. 10(12), pages 1-24, November.
More about this item
Keywords
Agents; Decision Making; Equity Market Trading; Genetic Algorithms; Technical Indicators;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2006-07-15 (Computational Economics)
- NEP-FIN-2006-07-15 (Finance)
- NEP-FMK-2006-07-15 (Financial Markets)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sce:scecfa:410. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum (email available below). General contact details of provider: https://edirc.repec.org/data/sceeeea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.