A futures market simulation with non-rational participants
-
Michael de la Maza and Deniz Yuret (1994)
( PS )
-
A futures market simulation with non-rational participants. In Rodney
A. Brooks and Pattie Maes, editors, Proceedings of the Fourth
International Workshop on the Synthesis and Simulation of Living
Systems.
Abstract:
This paper describes a set of experiments performed with an artificial
futures market simulation. The non-rational market participants, which evolve
simple strategies using genetic algorithms, compete against each other
to make profits by buying and selling futures contracts. The dynamic
and equilibrium behavior of the participants is studied under a
variety of conditions. The results suggest that in simple markets
with non-homogenous participants opportunities for making consistent
profits over extended periods of time exist.