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Evolutionary Optimization of ZIP60: A Controlled Explosion in Hyperspace

Cliff, Dave, (2006) Evolutionary Optimization of ZIP60: A Controlled Explosion in Hyperspace Fasli, Maria (ed.) In Proceedings of the Trading Agent Design and Analysis / Agent Mediated Electronic Commerce VIII (TADA/AMEC2006) Joint Workshop. Springer..

Record type: Conference or Workshop Item (Paper)

Abstract

The “ZIP” adaptive trading algorithm has been demonstrated to out-perform human traders in experimental studies of continuous double auction (CDA) markets. The original ZIP algorithm requires the values of eight control parameters to be set correctly. A new extension of the ZIP algorithm, called ZIP60, requires the values of 60 parameters to be set correctly. ZIP60 is shown here to produce significantly better results than the original ZIP (called “ZIP8” hereafter), for negligable additional computational costs. A genetic algorithm (GA) is used to search the 60-dimensional ZIP60 parameter space, and it finds parameter vectors that yield ZIP60 traders with mean scores significantly better than those of ZIP8s. This paper shows that the optimizing evolutionary search works best when the GA itself controls the dimensionality of the search-space, so that the search commences in an 8-d space and thereafter the dimensionality of the search-space is gradually increased by the GA until it is exploring a 60-d space. Furthermore, the results from ZIP60 cast some doubt on prior ZIP8 results concerning the evolution of new ‘hybrid’ auction mechanisms that appeared to be better than the CDA.

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More information

Published date: 2006
Additional Information: Event Dates: May 9, 2006
Venue - Dates: Trading Agent Design and Analysis (TADA) Workshop at AAMAS 2006, Japan, 2006-05-09
Organisations: Electronics & Computer Science

Identifiers

Local EPrints ID: 262074
URI: http://eprints.soton.ac.uk/id/eprint/262074
PURE UUID: bca04c0c-39a0-442f-af4f-b53fd6289c5d

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Date deposited: 23 May 2007
Last modified: 18 Jul 2017 08:55

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Contributors

Author: Dave Cliff
Editor: Maria Fasli

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