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.