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Cognitive Financial Agents: From Generalized Reinforcement Learning to

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58 pages
Cognitive Financial Agents: From Generalized Reinforcement Learning to Genetic Programming Conference on Quantitative Behavioral Finance University of Nice, Nice, France December 8-10, 2010 Shu-Heng Chen,

  • ?? grinblatt

  • cognitive financial

  • ?? frederick

  • cognitive double

  • shu-heng chen

  • natural automata

  • low ??

  • human agents


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Cognitive Financial Agents: From
Generalized Reinforcement Learning to
Genetic Programming
Conference on Quantitative Behavioral Finance
University of Nice, Nice, France
December 8-10, 2010
Shu-Heng Chen, chen.shuheng@gmail.com Artificial Automata Natural Automata
Artificial Agents Human Agents
Cognitive Capacity Cognitive Capacity in Financial
Decision Making
  Frederick (2005)
  Zagorsky (2007)
  Christelis, Japelli and Padula (2008)
  Cole and Shastry (2008)
  Banks, o’Dea and Oldfield (2009).
  Grinblatt M, Keloharju M, Linnainmaa J (2009)
  Finke (2010)
  Agarwal and Mazumder (2010) Cognitive Double Auction
Experiments
  A normalized index
  Those who have above-average WMC
scores are classified as High
  Those who have below-average WMC
scores are classified as Low
  EXP 1 – 100 High, 73 Low
  EXP 2 – 98 High, 75 Low Mean Performance of Two Groups
of Human Subjects in Three Markets Super Rationality
Agent-Based
Game Cognitive
Financial
Experiments Capability Markets
Bounded Rationality Agent-Based Game
Financial Experiments
Markets
Zero-Intelligence Agents
Reinforcement Learning Agents
Belief Learning Agents
Experience-Weighted
Attraction (EWA) Agents
Regime-Switching Agents Sophisticated (EWA) Agents
Level-K Reasoning Novelty-Discovering Agents Cognitive
Capability:
Zero-Intelligence One
Agents
Dimension
Reinforcement Learning
Agents
Experience-Weighted
Attractions (EWA) Agents
Belief Learning Agents
Game
Experiments Level-K Reasoning Agents Cognitive
Capability:
Three
Dimensions
Level-K Reasoning Agents
Belief Learning Agents
Experience-Weighted
Attractions (EWA) Agents
Zero-Intelligence Reinforcement Learning
Agents Agents

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