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Accession number;01A0340286
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| Title;Construction of artificial stock markets using ADG; Automatically Defined Groups. |
| Author;
HARA AKIRA
(Grad. Sch. at Nagatsuta Tokyo Inst. of Technol.)
NAGAO TOMOHARU
(Yokohama Natl. Univ., Fac. of Eng.)
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Journal Title;IEIC Technical Report (Institute of Electronics, Information and Communication Engineers)
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Journal Code:S0532B
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ISSN:0913-5685
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VOL.100;NO.529(AI2000 41-55);PAGE.73-78(2001)
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| Figure&Table&Reference;FIG.7, TBL.3, REF.7 |
| Pub. Country;Japan |
| Language;Japanese |
| Abstract;With the aim of analyzing the mechanism of the stock price change, we construct an artificial stock market composed of multiple agents whose investment strategies are represented by tree-shaped programs. 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 authors. We show experimentally that complex changes like real market appears in the proposed artificial market. (author abst.) |
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