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The Santa Fe Artificial Stock Market Re-Examined - Suggested Corrections

Author

Listed:
  • Norman Ehrentreich

    (Martin-Luther University of Halle- Wittenberg)

Abstract
This paper rectifies a design problem in the Santa Fe Artificial Stock Market Model. Due to a faulty mutation operator, the resulting bit distribution in the classifier system was systematically upwardly biased, thus suggesting increased levels of technical trading for smaller GA-invocation intervals. The corrected version partly supports the Marimon-Sargent-Hypothesis that adaptive classifier agents in an artificial stock market will always discover the homogeneous rational expectation equilibrium. While agents always find the correct solution of non-bit usage, analyzing the time series data still suggests the existence of two different regimes depending on learning speed. Finally, classifier systems and neural networks as data mining techniques in artificial stock markets are discussed.

Suggested Citation

  • Norman Ehrentreich, 2002. "The Santa Fe Artificial Stock Market Re-Examined - Suggested Corrections," Computational Economics 0209001, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpco:0209001
    Note: Type of Document - Adobe-Pdf; prepared on LaTex on IBM PC (Windows); to print on Postscript; pages: 22; figures: included. submitted to the Journal of Economic Dynamics and Control
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/comp/papers/0209/0209001.pdf
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    References listed on IDEAS

    as
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    Cited by:

    1. Germán Creamer, 2012. "Model calibration and automated trading agent for Euro futures," Quantitative Finance, Taylor & Francis Journals, vol. 12(4), pages 531-545, December.
    2. Haijun Yang & Harry Wang & Gui Sun & Li Wang, 2015. "A comparison of U.S and Chinese financial market microstructure: heterogeneous agent-based multi-asset artificial stock markets approach," Journal of Evolutionary Economics, Springer, vol. 25(5), pages 901-924, November.
    3. José Manuel Galán & Luis R. Izquierdo & Segismundo S. Izquierdo & José Ignacio Santos & Ricardo del Olmo & Adolfo López-Paredes & Bruce Edmonds, 2009. "Errors and Artefacts in Agent-Based Modelling," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 12(1), pages 1-1.
    4. 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.

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    More about this item

    Keywords

    Asset Pricing; Learning; Financial Time Series; Genetic Algorithms; Classifier Systems; Agent-Based Simulation;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness

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