| Presentation | 2003/1/23 Multi-agent simulation model for financial market with feedback effects both of price and trading volume Hiwon YOON, Takahiko TANAHASHI, |
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| PDF Download Page | PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | We present an artificial market model to simulate intraday price fluctuation in financial market. The model is composed of three types of agents, who have different time spans to profit, with feedback effects both of price and trading volume, and it is called three bodies model. With a concept of quantifying aggressiveness to trade on modeling methodology, three bodies model can simulate intraday price fluctuation and trading lots simultaneously. We show simulation results for listed stocks on Tokyo Stock Exchange, applying three bodies model empirically, and suggest a practice utilization of agent simulation. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | Three bodies model / Artificial market / Intraday simulation |
| Paper # | AI2002-42 |
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| Conference Information | |
| Committee | AI |
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| Conference Date | 2003/1/23(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| Topics (in Japanese) | (See Japanese page) |
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| Paper Information | |
| Registration To | Artificial Intelligence and Knowledge-Based Processing (AI) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Multi-agent simulation model for financial market with feedback effects both of price and trading volume |
| Sub Title (in English) | |
| Keyword(1) | Three bodies model |
| Keyword(2) | Artificial market |
| Keyword(3) | Intraday simulation |
| 1st Author's Name | Hiwon YOON |
| 1st Author's Affiliation | CMD Research Ltd.() |
| 2nd Author's Name | Takahiko TANAHASHI |
| 2nd Author's Affiliation | Mechanical Engineering,Keio University |
| Date | 2003/1/23 |
| Paper # | AI2002-42 |
| Volume (vol) | vol.102 |
| Number (no) | 614 |
| Page | pp.pp.- |
| #Pages | 6 |
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