Selection mechanisms affect volatility in evolving markets

David Rushing Dewhurst, Michael Vincent Arnold and Colin Michael Van Oort

Papers from arXiv.org

Abstract: Financial asset markets are sociotechnical systems whose constituent agents are subject to evolutionary pressure as unprofitable agents exit the marketplace and more profitable agents continue to trade assets. Using a population of evolving zero-intelligence agents and a frequent batch auction price-discovery mechanism as substrate, we analyze the role played by evolutionary selection mechanisms in determining macro-observable market statistics. In particular, we show that selection mechanisms incorporating a local fitness-proportionate component are associated with high correlation between a micro, risk-aversion parameter and a commonly-used macro-volatility statistic, while a purely quantile-based selection mechanism shows significantly less correlation.

Date: 2018-12, Revised 2019-04
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in In Proceedings of the Genetic and Evolutionary Computation Conference (2019) 90-98

Downloads: (external link)
http://arxiv.org/pdf/1812.05657 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1812.05657

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().