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Artificial Life and Robotics

, Volume 12, Issue 1–2, pp 176–179 | Cite as

Interaction of agents in financial markets and informational method to quantify it

  • Aki-hiro SatoEmail author
Original Article
  • 35 Downloads

Abstact

In this article, an informational method to quantify behavioral similarities of market participants is proposed regarding a financial market as a many-body system. An agent-based model of a financial market in which N market participants deal with M financial commodities is considered. In order to measure the agents’ interactions, the spectral distance defined by the Kullback-Leibler divergence between two normalized spectra of behavioral frequencies is introduced. The validity of the method is evaluated by using the behavioral frequencies obtained from the agent-based model. It is concluded that the perception and decision parameters of agents who treat two commodities tend to be similar when the behavioral frequencies are similar.

Key words

Agent-based modeling Kullback-Leibler divergence Behavioral frequencies 

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Copyright information

© International Symposium on Artificial Life and Robotics (ISAROB). 2008

Authors and Affiliations

  1. 1.Department of Applied Mathematics and Physics, Graduate School of InformaticsKyoto UniversityKyotoJapan

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