| Presentation | 2002/1/3 Construction and analysis of market model by use of agents' group structure Akira HARA, Shintaro OGINO, Tomoharu NAGAO, |
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| PDF Download Page | PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | With the aim of analyzing the mechanism of the stock price change, we construct an artificial stock market. The market is optimized by using a Genetic Programming so that the change of its stock price resembles that of "real" stock market statistically. In order to perform an efficient optimization and to analyze agents' behavior easily, we use ADG; Automatically Defind Groups previously proposed by the authors. In real market, the squares of change rates have high correlation, and the distribution of change rates shows high peak and fat tail. We examined the interaction of agents which causes complex changes like the real market. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | artificial market / multiagent system / genetic programming |
| Paper # | AI2001-73 |
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| Conference Information | |
| Committee | AI |
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| Conference Date | 2002/1/3(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| Topics (in Japanese) | (See Japanese page) |
| Topics (in English) | |
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| 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) | Construction and analysis of market model by use of agents' group structure |
| Sub Title (in English) | |
| Keyword(1) | artificial market |
| Keyword(2) | multiagent system |
| Keyword(3) | genetic programming |
| 1st Author's Name | Akira HARA |
| 1st Author's Affiliation | Department of Information Processing, Tokyo Institute of Technology() |
| 2nd Author's Name | Shintaro OGINO |
| 2nd Author's Affiliation | Graduate School of Environment and Information Sciences Yokohama National University |
| 3rd Author's Name | Tomoharu NAGAO |
| 3rd Author's Affiliation | Graduate School of Environment and Information Sciences Yokohama National University |
| Date | 2002/1/3 |
| Paper # | AI2001-73 |
| Volume (vol) | vol.101 |
| Number (no) | 536 |
| Page | pp.pp.- |
| #Pages | 8 |
| Date of Issue | |