Recently, genetic programming has been proposed to
model agents' adaptive behaviour in a complex
transition process where uncertainty cannot be
formalised within the usual probabilistic framework.
However, this approach has not been widely accepted by
economists. One of the main reasons is the lack of the
theoretical foundation of using genetic programming to
model transition dynamics. Therefore, the purpose of
this paper is two-fold. First, motivated by the recent
applications of algorithmic information theory in
economics, we would like to show the relevance of
genetic programming to transition dynamics given this
background. Second, we would like to supply two
concrete applications to transition dynamics. The first
application, which is designed for the pedagogic
purpose, shows that genetic programming can simulate
the non-smooth transition, which is difficult to be
captured by conventional toolkits, such as differential
equations and difference equations. In the second
application, genetic programming is applied to simulate
the adaptive behavior of speculators. This simulation
shows that genetic programming can generate artificial
time series with the statistical properties frequently
observed in real financial time series.
%0 Journal Article
%1 Chen:2000:AOR
%A Chen, Shu-Heng
%A Yeh, Chia-Hsuan
%D 2000
%J Annals of Operations Research
%K Kolmogorov algorithms, bounded complexity, description genetic length minimum principle, programming, rationality, selling short
%N 1-4
%P 265--286
%R doi:10.1023/A:1018972006990
%T Simulating economic transition processes by genetic
programming
%V 97
%X Recently, genetic programming has been proposed to
model agents' adaptive behaviour in a complex
transition process where uncertainty cannot be
formalised within the usual probabilistic framework.
However, this approach has not been widely accepted by
economists. One of the main reasons is the lack of the
theoretical foundation of using genetic programming to
model transition dynamics. Therefore, the purpose of
this paper is two-fold. First, motivated by the recent
applications of algorithmic information theory in
economics, we would like to show the relevance of
genetic programming to transition dynamics given this
background. Second, we would like to supply two
concrete applications to transition dynamics. The first
application, which is designed for the pedagogic
purpose, shows that genetic programming can simulate
the non-smooth transition, which is difficult to be
captured by conventional toolkits, such as differential
equations and difference equations. In the second
application, genetic programming is applied to simulate
the adaptive behavior of speculators. This simulation
shows that genetic programming can generate artificial
time series with the statistical properties frequently
observed in real financial time series.
@article{Chen:2000:AOR,
abstract = {Recently, genetic programming has been proposed to
model agents' adaptive behaviour in a complex
transition process where uncertainty cannot be
formalised within the usual probabilistic framework.
However, this approach has not been widely accepted by
economists. One of the main reasons is the lack of the
theoretical foundation of using genetic programming to
model transition dynamics. Therefore, the purpose of
this paper is two-fold. First, motivated by the recent
applications of algorithmic information theory in
economics, we would like to show the relevance of
genetic programming to transition dynamics given this
background. Second, we would like to supply two
concrete applications to transition dynamics. The first
application, which is designed for the pedagogic
purpose, shows that genetic programming can simulate
the non-smooth transition, which is difficult to be
captured by conventional toolkits, such as differential
equations and difference equations. In the second
application, genetic programming is applied to simulate
the adaptive behavior of speculators. This simulation
shows that genetic programming can generate artificial
time series with the statistical properties frequently
observed in real financial time series.},
added-at = {2008-06-19T17:35:00.000+0200},
author = {Chen, Shu-Heng and Yeh, Chia-Hsuan},
biburl = {https://www.bibsonomy.org/bibtex/243621b2fa33526227432fa7f8744e16b/brazovayeye},
doi = {doi:10.1023/A:1018972006990},
interhash = {398982d84d2a50d837ab32a83fc88197},
intrahash = {43621b2fa33526227432fa7f8744e16b},
issn = {0254-5330},
journal = {Annals of Operations Research},
keywords = {Kolmogorov algorithms, bounded complexity, description genetic length minimum principle, programming, rationality, selling short},
month = {December},
number = {1-4},
pages = {265--286},
timestamp = {2008-06-19T17:37:43.000+0200},
title = {Simulating economic transition processes by genetic
programming},
volume = 97,
year = 2000
}