The research on financial engineering by means of genetic programming is gradually popular and appealing. For example, Kaboudan (1999, 2001) and Iba and Sasaki (1999), Iba and Sasaki (1999), used standard GP to evolve forecasting models. Neely, et al. (1997), Allen and Karjalainen (1999), Fyfe...

The relationship between competitiveness and market performance has been discussed for a long time. In a competitive economic environment, each firm or individual is unable to influence the market. It has been mentioned in the economics courses that the competitive market is more efficient and...

Since the end of the 1960s, price limits has been employed by many futures markets and stock markets around the world. In the literature, the effectiveness of price limits is still under debate. The main purpose of price limit is to reduce price volatility. The rationale for supporting price...

The stock market crash in 1929 has raised many discussions about the causes and the ways to prevent the financial markets from large fluctuations. The role of the margin loan has usually been regarded as the source of instability in financial markets. The view that low margin infused excessive...

This paper studies the behavior of price discovery within a context of an agent based stock market in which the twin assumptions namely, rational expectations and the representative agents normally made in mainstream economics, are removed. In this model, traders stochastically update their...

In this paper, we will give a review on the development of artificial adaptive economic agents in evolutionary economics. The review starts from a 1986 paper by Robert Lucas, a Nobel Prize laureate in economics. From there, we shall see how the idea of economic adaptive agents was enriched and...

The complexity of the financial markets, represents a big challenge to the specialist in the area. The traditional way of coping with the analysis of such systems is the use of analytical models. However, the analytical models present some difficulties and this has leaded to the development of...

In this paper, we investigate the out-of-sample forecasting ability of a genetic program to approach the dynamic evolution of the Yen/US$ and Pound Sterling/US$ exchange rates, and verify whether the method can beat the random walk model. Later on, we use the predicted values to generate a...