| Presentation | 1999/1/12 Emergent Phenomena in Markets : Analysis Based on an Artificial Market Approach Kiyoshi IZUMI, Kazuhiro UEDA, |
|---|---|
| PDF Download Page | PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | In this study, an artificial market approach, which is a new agent-based approach to investigate foreign exchange markets, is proposed. Using this approach, three emergent phenomena of markets were explained. First, in order to investigate the learning patterns of actual dealers, we held an interview with a dealer. Second, based on the field data acquired, we constructed a multiagent model of a market using genetic algorithms. Finally, the emergent phenomena of markets were analyzed using the simulation results of the model. The results showed that the interaction between the agents' forecasts and the relationship of demand and supply caused the phase transition of forecast variety. The three emergent phenomena were explained by the phase transition. This approach, therefore, integrates the fieldwork and the multiagent model, and provide quantitative explanation of the micro-macro relation in markets. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | complex systems / emergent phenomena / artificial market approach / multiagent model |
| Paper # | AI98-68 |
| Date of Issue |
| Conference Information | |
| Committee | AI |
|---|---|
| Conference Date | 1999/1/12(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| Topics (in Japanese) | (See Japanese page) |
| Topics (in English) | |
| Chair | |
| Vice Chair | |
| Secretary | |
| Assistant | |
| Paper Information | |
| Registration To | Artificial Intelligence and Knowledge-Based Processing (AI) |
|---|---|
| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Emergent Phenomena in Markets : Analysis Based on an Artificial Market Approach |
| Sub Title (in English) | |
| Keyword(1) | complex systems |
| Keyword(2) | emergent phenomena |
| Keyword(3) | artificial market approach |
| Keyword(4) | multiagent model |
| 1st Author's Name | Kiyoshi IZUMI |
| 1st Author's Affiliation | Information Science Div., ETL() |
| 2nd Author's Name | Kazuhiro UEDA |
| 2nd Author's Affiliation | Dept. of General Systems Studies University of Tokyo |
| Date | 1999/1/12 |
| Paper # | AI98-68 |
| Volume (vol) | vol.98 |
| Number (no) | 499 |
| Page | pp.pp.- |
| #Pages | 8 |
| Date of Issue | |