Differential Weight and Population Size of PRDE Traders: An Analysis of Their Impact on Market Dynamics

George Herbert

2023

Abstract

This paper reports results from market experiments containing Parameterised-Response Zero-Intelligence with Differential Evolution (PRDE) trader-agents. Each PRDE trader-agent in a market simultaneously uses differential evolution (DE) to adapt their trading strategy to maximise profitability. Two parameters govern the DE algorithm within each PRDE trader: the differential weight coefficient F and the number in population NP. Markets containing a homogeneous population of PRDE traders exhibit significantly different dynamics depending on the values of F and NP. The first part of this paper explores the effect that F and NP have on the profitability of markets populated by PRDE traders. The latter part of this paper proposes a new algorithm based on PRDE to maximise profitability: the Parameterised-Response Zero-Intelligence with JADE (PRJADE) trader-agent.

Paper Citation

in Harvard Style

Herbert G. (2023). Differential Weight and Population Size of PRDE Traders: An Analysis of Their Impact on Market Dynamics. In Proceedings of the 15th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART, ISBN 978-989-758-623-1, pages 135-144. DOI: 10.5220/0011885500003393

in Bibtex Style

@conference{icaart23,
author={George Herbert},
title={Differential Weight and Population Size of PRDE Traders: An Analysis of Their Impact on Market Dynamics},
booktitle={Proceedings of the 15th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART,},
year={2023},
pages={135-144},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0011885500003393},
isbn={978-989-758-623-1},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 15th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART,
TI - Differential Weight and Population Size of PRDE Traders: An Analysis of Their Impact on Market Dynamics
SN - 978-989-758-623-1
AU - Herbert G.
PY - 2023
SP - 135
EP - 144
DO - 10.5220/0011885500003393