| Presentation | 2010-03-04 Classification of Agents' Behavior from Stock Prices in the Artificial Stock Markets consisting of Multi-agents with Evolutionary Learning by applying Estimation of Jump Markov Systems by using Particle Filters Shozo TOKINAGA, Yosinori KISHIKAWA, |
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| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | This report delas with the classification of agents' behavior from stock prices in artificial stock markets consisting of multi-agents with evolutionary learning where we apply the state estimation of jump Markov systems by using Particle Filters (PFs). There are several works for modeling artificial stock prices by using evolutionary learning of however, these results are obtained sufficient number of simulation studies. We utilize the scheme of jump Markov system where the system behavior is switched among several state equations according to a Markov process. Then we use PFs for the estimation of state. As applications, we show the estimation of state transition of agents behaviors base on the jump Markov linear systems for artificial stock markets. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | Time series modeling / Multi-Agent-based modeling / Evolutionary learning / Jump Marrkov systems / Particle filters |
| Paper # | SIS2009-48 |
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| Conference Information | |
| Committee | SIS |
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| Conference Date | 2010/2/25(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| 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) | Classification of Agents' Behavior from Stock Prices in the Artificial Stock Markets consisting of Multi-agents with Evolutionary Learning by applying Estimation of Jump Markov Systems by using Particle Filters |
| Sub Title (in English) | |
| Keyword(1) | Time series modeling |
| Keyword(2) | Multi-Agent-based modeling |
| Keyword(3) | Evolutionary learning |
| Keyword(4) | Jump Marrkov systems |
| Keyword(5) | Particle filters |
| 1st Author's Name | Shozo TOKINAGA |
| 1st Author's Affiliation | Graduate School of Economics, Kyushu University() |
| 2nd Author's Name | Yosinori KISHIKAWA |
| 2nd Author's Affiliation | UBE National College of Technology |
| Date | 2010-03-04 |
| Paper # | SIS2009-48 |
| Volume (vol) | vol.109 |
| Number (no) | 447 |
| Page | pp.pp.- |
| #Pages | 6 |
| Date of Issue | |