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

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

The Hong Kong Polytechnic University

Research output: Chapter in book / Conference proceeding › Conference article published in proceeding or book › Academic research › peer-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 language	English
Title of host publication	ICAART 2011 - Proceedings of the 3rd International Conference on Agents and Artificial Intelligence
Pages	430-433
Number of pages	4
Volume	2
Publication status	Published - 14 Jul 2011
Event	3rd International Conference on Agents and Artificial Intelligence, ICAART 2011 - Rome, Italy Duration: 28 Jan 2011 → 30 Jan 2011

Conference

Conference	3rd International Conference on Agents and Artificial Intelligence, ICAART 2011
Country/Territory	Italy
City	Rome
Period	28/01/11 → 30/01/11

Keywords

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

ASJC Scopus subject areas

Artificial Intelligence

Cite this

@inproceedings{0a24ac9804044a13b966e7b4a9600002,

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

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.",

keywords = "Combined technical analysis indicator, Evolutionary market, Genetic algorithm, Multi-agent system",

author = "Chi Xu and Xiaoyu Zhao and Zheru Chi and Na Jia and Huiqun Zhao",

year = "2011",

month = jul,

day = "14",

language = "English",

isbn = "9789898425416",

volume = "2",

pages = "430--433",

booktitle = "ICAART 2011 - Proceedings of the 3rd International Conference on Agents and Artificial Intelligence",

note = "3rd International Conference on Agents and Artificial Intelligence, ICAART 2011 ; Conference date: 28-01-2011 Through 30-01-2011",

}

Xu, C, Zhao, X, Chi, Z, Jia, N & Zhao, H 2011, Construction of evolutionary multi-agent double auction market for data mining combinational strategies with stable returns. in ICAART 2011 - Proceedings of the 3rd International Conference on Agents and Artificial Intelligence. vol. 2, pp. 430-433, 3rd International Conference on Agents and Artificial Intelligence, ICAART 2011, Rome, Italy, 28/01/11.

Construction of evolutionary multi-agent double auction market for data mining combinational strategies with stable returns. / Xu, Chi; Zhao, Xiaoyu; Chi, Zheru et al.
ICAART 2011 - Proceedings of the 3rd International Conference on Agents and Artificial Intelligence. Vol. 2 2011. p. 430-433.

Research output: Chapter in book / Conference proceeding › Conference article published in proceeding or book › Academic research › peer-review

TY - GEN

T1 - Construction of evolutionary multi-agent double auction market for data mining combinational strategies with stable returns

AU - Xu, Chi

AU - Zhao, Xiaoyu

AU - Chi, Zheru

AU - Jia, Na

AU - Zhao, Huiqun

PY - 2011/7/14

Y1 - 2011/7/14

N2 - 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.

AB - 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.

KW - Combined technical analysis indicator

KW - Evolutionary market

KW - Genetic algorithm

KW - Multi-agent system

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M3 - Conference article published in proceeding or book

SN - 9789898425416

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SP - 430

EP - 433

BT - ICAART 2011 - Proceedings of the 3rd International Conference on Agents and Artificial Intelligence

T2 - 3rd International Conference on Agents and Artificial Intelligence, ICAART 2011

Y2 - 28 January 2011 through 30 January 2011

ER -

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

Abstract

Conference

Keywords

ASJC Scopus subject areas

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