Evolution and Market Behavior in Economics and Finance

Evolution of Trading Strategies in a Market with Heterogeneously Informed Agents

speaker: Bob Kaempff (University of Innsbruck)

abstract: We present an agent-based simulation of an asset market with heterogenous information. Genetic programming is applied to optimize trading strategies of the agents. In the equilibrium derived, insiders are the only agents that are able to generate small systematic above-average returns. For all other agents, genetic programming derives a rich variety of trading strategies that are predominantly based on exclusive subsets of their information. This limits their price impact and prevents them from making systematic losses. Due to the low noise they induce we also find market prices to be informationally efficient to a large extent.

timetable:
Fri 2 Oct, 17:00 - 17:45, Aula 3
documents:

kaempff

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