The agent-based double auction markets: 15 Years On

Chen, Shu-Heng and Tai, Chung-Ching (2010) The agent-based double auction markets: 15 Years On. In, Takadama, Keiki, Cioffi-Revilla, Claudio and Deffuant, Guillaume (eds.) Simulating interacting agents and social phenomena: The second world congress. (Agent based social systems, 7) Tokyo. Springer, pp. 119-136. (doi:10.1007/978-4-431-99781-8_9).

Record type: Book Section

Abstract

Novelties discovering as a source of constant change is the essence of economics. However, most economic models do not have the kind of novelties-discovering agents required for constant changes. This silence was broken by Andrews and Prager 15 years ago when they placed GP (genetic programming)-driven agents in the double auction market. The work was, however, neither economically well interpreted nor complete; hence the silence remains in economics. In this article, we revisit their model and systematically conduct a series of simulations to better document the results. Our simulations show that human-written programs, including some reputable ones, are eventually outperformed by GP. The significance of this finding is not that GP is alchemy. Instead, it shows that novelties-discovering agents can be introduced into economic models, and their appearance inevitably presents threats to other agents who then have to react accordingly. Hence, a potentially indefinite cycle of change is triggered.

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