| Presentation | 2007-03-05 Analysis of Multi-fractal Surfaces generated as the Result of Agents' Behavior and Feature Extraction based on Prediction/Smoothing Methods Yoshikazu IKEDA, Shozo TOKINAGA, |
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| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | This report deals with the analysis of multi-fractal surfaces generated as the result of agents' behavior and feature extraction based on prediction/smoothing methods. Cognitive behaviors of agents are modeled by using the GP to introduce co-evolutionary (social) learning as well as individual learning. Agents using forecast models and rules usually use their own knowledge base, but some of them utilize their public (common) knowledge base to improve trading decisions. For checking the multi-fractality we use an extended method based on the continuous time wavelet transform. At first, we assume markets consisting multiple stockes (issues), and secondly, we assume that agents and markets are located on grids on a planer cells. As a result, in several cases we find strict multi-fractality in artificial stock prices, and we see the relationship between the realizability (reproducibility) of multi-fractality and the system parameters. By applying prediction method for mono-fractal surface, the feature of the multi-fractal are extracted. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | Multi-fractal surface / Multi-agents / Genetic Programming / Feature extraction |
| Paper # | NLP2006-151 |
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| Conference Information | |
| Committee | NLP |
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| Conference Date | 2007/2/26(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| Topics (in Japanese) | (See Japanese page) |
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| Paper Information | |
| Registration To | Nonlinear Problems (NLP) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Analysis of Multi-fractal Surfaces generated as the Result of Agents' Behavior and Feature Extraction based on Prediction/Smoothing Methods |
| Sub Title (in English) | |
| Keyword(1) | Multi-fractal surface |
| Keyword(2) | Multi-agents |
| Keyword(3) | Genetic Programming |
| Keyword(4) | Feature extraction |
| 1st Author's Name | Yoshikazu IKEDA |
| 1st Author's Affiliation | Faculty of Economics, Shinshu University() |
| 2nd Author's Name | Shozo TOKINAGA |
| 2nd Author's Affiliation | Graduate School of Economics, Kyushu University |
| Date | 2007-03-05 |
| Paper # | NLP2006-151 |
| Volume (vol) | vol.106 |
| Number (no) | 573 |
| Page | pp.pp.- |
| #Pages | 6 |
| Date of Issue | |