Construction of evolutionary multi-agent double auction market for data mining combinational strategies with stable returns

Chi Xu, Xiaoyu Zhao, Zheru Chi, Na Jia, Huiqun Zhao

Research output: Chapter in book / Conference proceedingConference article published in proceeding or bookAcademic researchpeer-review

Abstract

In this paper, we report a multi-agent artificial market scheme which evolves for imitating a real stock market as similar as better. The artificial market model can generate possible price trend curves those have high correlation coefficient with Hong Kong Hang Seng Index (HSI). The purpose of the imitation is to generate different possible market price dynamics, so the artificial markets can be reliable source to provide statistically analysis samples for a real market. The strategies optimized in the artificial markets can improve the stability and profitability in the real market. The aim of the experiment is to obtain a strategy that can provide profitable and relatively stable return without forecasting the future movements of the market.
Original languageEnglish
Title of host publicationICAART 2011 - Proceedings of the 3rd International Conference on Agents and Artificial Intelligence
Pages430-433
Number of pages4
Volume2
Publication statusPublished - 14 Jul 2011
Event3rd International Conference on Agents and Artificial Intelligence, ICAART 2011 - Rome, Italy
Duration: 28 Jan 201130 Jan 2011

Conference

Conference3rd International Conference on Agents and Artificial Intelligence, ICAART 2011
CountryItaly
CityRome
Period28/01/1130/01/11

Keywords

  • Combined technical analysis indicator
  • Evolutionary market
  • Genetic algorithm
  • Multi-agent system

ASJC Scopus subject areas

  • Artificial Intelligence

Cite this