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| Presentation | 2010-03-04 10:30 Classification of Agents' Behavior from Stock Prices in the Artificial Stock Markets consisting of Multi-agents with Evolutionary Learning by applying Estimation of Jump Markov Systems by using Particle Filters Shozo Tokinaga (Kyushu Univ), Yoshinori Kishikawa (Ube Tec Coll)  SIS2009-48 |
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| Abstract | (in Japanese) | (See Japanese page) |
| (in English) | This report delas with the classification of agents' behavior from stock prices in artificial stock markets consisting of multi-agents with evolutionary learning where we apply the state estimation of jump Markov systems by using Particle Filters (PFs). There are several works for modeling artificial stock prices by using evolutionary learning of however, these results are obtained sufficient number of simulation studies. We utilize the scheme of jump Markov system where the system behavior is switched among several state equations according to a Markov process. Then we use PFs for the estimation of state. As applications, we show the estimation of state transition of agents behaviors base on the jump Markov linear systems for artificial stock markets. |
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| Keyword | (in Japanese) | (See Japanese page) |
| (in English) | Time series modeling / Multi-Agent-based modeling / Evolutionary learning / Jump Marrkov systems / Particle filters / / / | |
| Reference Info. | IEICE Tech. Rep., vol. 109, no. 447, SIS2009-48, pp. 1-6, March 2010. | |
| Paper # | SIS2009-48 | |
| Date of Issue | 2010-02-25 (SIS) | |
| ISSN | Print edition: ISSN 0913-5685 Online edition: ISSN 2432-6380 | |
| Copyright and reproduction |
All rights are reserved and no part of this publication may be reproduced or transmitted in any form or by any means, electronic or mechanical, including photocopy, recording, or any information storage and retrieval system, without permission in writing from the publisher. Notwithstanding, instructors are permitted to photocopy isolated articles for noncommercial classroom use without fee. (License No.: 10GA0019/12GB0052/13GB0056/17GB0034/18GB0034) | |
| Download PDF | SIS2009-48 |
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| Conference Information | |
| Committee | SIS |
| Conference Date | 2010-03-04 - 2010-03-05 |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | Kanagawa Institute of Technology |
| Topics (in Japanese) | (See Japanese page) |
| Topics (in English) | |
| Paper Information | |
| Registration To | SIS |
| Conference Code | 2010-03-SIS |
| Language | Japanese |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Classification of Agents' Behavior from Stock Prices in the Artificial Stock Markets consisting of Multi-agents with Evolutionary Learning by applying Estimation of Jump Markov Systems by using Particle Filters |
| Sub Title (in English) | |
| Keyword(1) | Time series modeling |
| Keyword(2) | Multi-Agent-based modeling |
| Keyword(3) | Evolutionary learning |
| Keyword(4) | Jump Marrkov systems |
| Keyword(5) | Particle filters |
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| Keyword(8) | |
| 1st Author's Name | Shozo Tokinaga |
| 1st Author's Affiliation | Kyushu University (Kyushu Univ) |
| 2nd Author's Name | Yoshinori Kishikawa |
| 2nd Author's Affiliation | Ube Technical College (Ube Tec Coll) |
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| Speaker | Author-2 |
| Date Time | 2010-03-04 10:30:00 |
| Presentation Time | 25 minutes |
| Registration for | SIS |
| Paper # | SIS2009-48 |
| Volume (vol) | vol.109 |
| Number (no) | no.447 |
| Page | pp.1-6 |
| #Pages | 6 |
| Date of Issue | 2010-02-25 (SIS) |
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