دانلود مقاله ISI انگلیسی شماره 45489
عنوان فارسی مقاله

نکته ای درباره رابطه بهره وری بازار و سازگاری: شواهد جدید از بازارهای سهام مصنوعی

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
45489 2014 19 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
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عنوان انگلیسی
A note on the relationship between market efficiency and adaptability – New evidence from artificial stock markets
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Expert Systems with Applications, Volume 41, Issue 16, 15 November 2014, Pages 7436–7454

کلمات کلیدی
فرضیه بازار کارآمد - فرضیه بازار تطبیقی - مدل سازی مبتنی بر عامل - بازارهای سهام مصنوعی - برنامه نویسی ژنتیک
پیش نمایش مقاله
پیش نمایش مقاله نکته ای درباره رابطه بهره وری بازار و سازگاری: شواهد جدید از بازارهای سهام مصنوعی

چکیده انگلیسی

We developed various artificial stock markets populated with different numbers of traders using a special adaptive form of the Strongly Typed Genetic Programming (STGP)-based learning algorithm. We then applied the STGP technique to historical data from three indices – the FTSE 100, S&P 500, and Russell 3000 – to investigate the formation of stock market dynamics and market efficiency. We used several econometric techniques to investigate the emergent properties of the stock markets. We have found that the introduction of increased heterogeneity and greater genetic diversity leads to higher market efficiency in terms of the Efficient Market Hypothesis (EMH), demonstrating that market efficiency does not necessarily correlate with rationality assumptions. We have also found that stock market dynamics and nonlinearity are better explained by the evolutionary process associated with the Adaptive Market Hypothesis (AMH), because different trader populations behave as an efficient adaptive system evolving over time. Hence, market efficiency exists simultaneously with the need for adaptive flexibility. Our empirical results, generated by a reduced number of boundedly rational traders in six of the stock markets, for each of the three financial instruments do not support the allocational efficiency of markets, indicating the possible need for governmental or regulatory intervention in stock markets in some circumstances.

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