THE IMPLICATIONS OF TRADER COGNITIVE ABILITIES ON STOCK MARKET PROPERTIES

VIKTOR MANAHOV; MONA SOUFIAN; ROBERT HUDSON

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THE IMPLICATIONS OF TRADER COGNITIVE ABILITIES ON STOCK MARKET PROPERTIES

机译：交易者认知能力对股票市场属性的影响

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Market structure and individual rationality remain at the centre of a debate as to which is the main driving force in market performance. We examine the role of individual rationality, comparing zero-intelligence traders with traders with different levels of intelligence using a special adaptive form of strongly typed genetic programming-based learning algorithm. We use this approach with real data: historical quotes of the S&P 500 and Coca-Cola stock prices. We find a mixture of positive and negative impacts from intelligence on market performance. Because the concept of market structure as a driving force has been significantly challenged in the literature, we suggest that the inclusion of both intelligence and market structures is important when examining the driving forces of market performance. This inclusion is consistent with the research of Todd and Gigerenzer (Journal of Economic Psychology, 24 (2003) 143-165), which asserts that both environment (market structure) and agents' cognition play important roles.

机译：市场结构和个人理性仍然是争论的焦点，关于哪一个是市场表现的主要驱动力。我们使用一种特殊的自适应形式的强类型遗传编程为基础的学习算法，比较零理性交易者与不同智力水平的交易者，从而检验个人理性的作用。我们使用这种方法处理真实数据：标准普尔500指数和可口可乐股价的历史报价。我们发现情报对市场表现的正面和负面影响混合在一起。因为市场结构作为驱动力的概念已在文献中受到了很大的挑战，所以我们建议，在研究市场绩效的驱动力时，将情报和市场结构包括在内是很重要的。此包含与Todd和Gigerenzer的研究（Journal of Economic Psychology，24（2003）143-165）一致，该研究断言环境（市场结构）和代理商的认知都起着重要的作用。

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《International journal of intelligent systems in accounting, finance & management》 |2014年第1期|1-18|共18页
作者
VIKTOR MANAHOV; MONA SOUFIAN; ROBERT HUDSON;
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作者单位

Newcastle University Business School, 6th Floor, PhD Office 6.22, 5 Barrack Road, Newcastle upon Tyne, NE1 4SE, UK;

Newcastle Business School, Northumbria University, Newcastle upon Tyne, UK;

University of Hull, Yorkshire, UK;

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正文语种 eng
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关键词
agent-based modelling; artificial stock market; genetic programming; zero intelligence; stylized facts; efficient market hypothesis;

机译：基于主体的建模;人工股票市场;基因编程;零情报;程式化的事实;有效市场假说;

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机译：我们在限价订单簿中开发了冰山订单执行的顺序交易模型。 Iceberg-trader可以自由地揭露他的交易意图，或者（部分）屏蔽其他市场参与者的真实订单规模。订单暴露最终会导致市场反应激烈（“市场影响”），导致交易成本上升。另一方面，冰山交易员在隐藏他的意图时面临优先权损失，因为大多数电子限价订单都会惩罚隐藏流动性的使用。因此，冰山商人面临着找到正确权衡的问题。我们的模型为限额订单市场中的冰山交易者提供了最佳的风险敞口策略。特别是，我们提供了一系列分析性陈述，这些陈述与最近关于交易者暴露策略决定因素的实证研究结果一致。在此框架下，我们还研究了市场影响以及限价订单的市场影响。我们为来自美国标准普尔500指数的一系列高科技股票提供最佳曝光配置文件，以及它们如何随着本书的规模扩展。我们最终根据极限订单测试了冰山的表现，发现冰山订单可以显着提升贸易业绩高达60％。

THE IMPLICATIONS OF TRADER COGNITIVE ABILITIES ON STOCK MARKET PROPERTIES

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