A note on the relationship between market efficiency and adaptability – New evidence from artificial stock markets

作者：

Highlights：

• Greater genetic diversity characterised by Hurst exponent of 0.5.

• The presence of more traders is related to a short-memory process.

• The standard deviation is higher in markets with fewer traders.

• There is no presence of ARCH effect in the most efficient markets.

• Market adaptability in line with the null hypothesis of BDS and Kaplan tests.

摘要

•Greater genetic diversity characterised by Hurst exponent of 0.5.•The presence of more traders is related to a short-memory process.•The standard deviation is higher in markets with fewer traders.•There is no presence of ARCH effect in the most efficient markets.•Market adaptability in line with the null hypothesis of BDS and Kaplan tests.

论文关键词：Efficient Market Hypothesis,Adaptive Market Hypothesis,Agent-based modelling,Artificial stock markets,Genetic Programming

论文评审过程：Available online 11 June 2014.

论文官网地址：https://doi.org/10.1016/j.eswa.2014.06.004