| Presentation | 2007-09-27 Multi-fractality Analysis of Artificial Stock Prices Generated by Behaviors of Multi-agants using GP Learning and its Applications to Recognition of Factors Governing Prices Yoshikazu IKEDA, Shozo TOKINAGA, |
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| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | This report deals with the multi-fractality analysis of artificial stock prices generated by behaviors of multi-agants using GP learning and its applications to recognition of factors governing prices. Then, it is shown that the time series of artificial stock price reveals as a multi-fractal signal. By applying prediction method for mono-fractal time series, the feature of the multi-fractal time series are extracted. We classify several cases by changing the composition (number) of agents of types. A backward method is applied to estimate the composition of agents who are seemed to dominate the stock market by using discriminant analysis. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | Multi-fractal / Artificial stock market / Multi-Agent-based modeling / Genetic Programming |
| Paper # | SIP2007-84,SIS2007-20,SP2007-46 |
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| Conference Information | |
| Committee | SIS |
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| Conference Date | 2007/9/20(1days) |
| Place (in Japanese) | (See Japanese page) |
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| Topics (in Japanese) | (See Japanese page) |
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| Registration To | Smart Info-Media Systems (SIS) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Multi-fractality Analysis of Artificial Stock Prices Generated by Behaviors of Multi-agants using GP Learning and its Applications to Recognition of Factors Governing Prices |
| Sub Title (in English) | |
| Keyword(1) | Multi-fractal |
| Keyword(2) | Artificial stock market |
| Keyword(3) | Multi-Agent-based modeling |
| Keyword(4) | Genetic Programming |
| 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 | 2007-09-27 |
| Paper # | SIP2007-84,SIS2007-20,SP2007-46 |
| Volume (vol) | vol.107 |
| Number (no) | 236 |
| Page | pp.pp.- |
| #Pages | 6 |
| Date of Issue | |