Development of an Artificial Market System for Analysis of Institutional Issues in Financial Markets
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- Akimoto Yoshihito
- Osaka Prefecture University
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- Mori Naoki
- Osaka Prefecture University
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- Ono Isao
- Tokyo Institute of Technology
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- Nakajima Yoshihiro
- Osaka City University
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- Sato Hiroshi
- National Defense Academy
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- Matsui Hiroyuki
- Kyoto University
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- Kita Hajime
- Kyoto University
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- Matsumoto Keinosuke
- Osaka Prefecture University
説明
In this paper, we first discuss the notion that artificial market systems should meet the requirements of fidelity, transparency, reproducibility, and traceability. Next, we introduce history of development of the artificial market system named U-Mart system that meet the requirements well, which have been developed by the U-Mart project. Next, we propose a novel U-Mart system called "U-Mart system version 3.0" to solve problems of conventional U-Mart systems. The computational experiments are carried out taking a market simulation where the futures price affects the spot price to show the effectiveness of U-Mart system version 3.0.
収録刊行物
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- SCIS & ISIS
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SCIS & ISIS 2010 (0), 121-126, 2010
日本知能情報ファジィ学会
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詳細情報 詳細情報について
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- CRID
- 1390001205589074176
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- NII論文ID
- 130005019458
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- 本文言語コード
- en
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- 資料種別
- journal article
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- データソース種別
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- JaLC
- CiNii Articles
- KAKEN
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- 抄録ライセンスフラグ
- 使用不可
