| Presentation | 2001/1/3 Complexity of Agents and Complexity of Markets Kiyoshi IZUMI, |
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| PDF Download Page | PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | In this study we rethought efficient market hypothesis from a viewpoint of complexity of market participants' prediction methods and market price's dynamics, and examined the hypothesis using simulation results of our artificial market model.As a result, we found the two difference from the hypothesis.(a)Complexity of markets was not fixed, but changed with complexity of agents.(b)When agents increased the complexity of their prediction methods, structure of dynamic patterns of market price didn't disappear, but it can't be described by equation of any dimensions. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | Artifical Market / Complexity / Efficient Market Hypothesis / Financial Market / Correlation Dimension Analysis |
| Paper # | AI2000-44 |
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| Conference Information | |
| Committee | AI |
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| Conference Date | 2001/1/3(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| Topics (in Japanese) | (See Japanese page) |
| Topics (in English) | |
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| Vice Chair | |
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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) | Complexity of Agents and Complexity of Markets |
| Sub Title (in English) | |
| Keyword(1) | Artifical Market |
| Keyword(2) | Complexity |
| Keyword(3) | Efficient Market Hypothesis |
| Keyword(4) | Financial Market |
| Keyword(5) | Correlation Dimension Analysis |
| 1st Author's Name | Kiyoshi IZUMI |
| 1st Author's Affiliation | Information Science Div., ETL & PRESTO, JST() |
| Date | 2001/1/3 |
| Paper # | AI2000-44 |
| Volume (vol) | vol.100 |
| Number (no) | 529 |
| Page | pp.pp.- |
| #Pages | 6 |
| Date of Issue | |