Genetic programming and the efficient market hypothesis
GECCO '96 Proceedings of the 1st annual conference on Genetic and evolutionary computation
Analysis of learning types in an artificial market
MABS'04 Proceedings of the 2004 international conference on Multi-Agent and Multi-Agent-Based Simulation
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In this study we rethought efficient market hypothesis from a viewpoint of complexity of market participants' prediction methods and market price's dynamics, and examined the hypothesis using simulation results of our artificial market model. As a result, we found the two differences from the hypothesis. (a) Complexity of markets was not fixed, but changed with complexity of agents. (b) When agents increased the complexity of their prediction methods, structure of dynamic patterns of market price didn't disappear, but it can't be described by equation of any dimensions.