Market Participant Estimation by Using Artificial Market

  • Fujio Toriumi
  • Kiyoshi Izumi
  • Hiroki Matsui
Part of the Studies in Computational Intelligence book series (SCI, volume 325)

Abstract

In designing a realistic artificial market, one of the most important points to consider is the combination of agents used. In this study, we propose an estimation method based on inverse simulation to estimate the combinations of traders who participate in the market. The proposed method applies a simulation that estimates market paricipation in different markets. The simulation results indicate that the proposed method is capable of estimating market participants.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. 1.
    Arthur, W., Holland, J., LeBaron, B., Palmer, R., Tayler, P.: Asset pricing under endogenous expectations in an artificial stock market. In: Arthur, B., Durlauf, S., Lane, D. (eds.) The Economy as an Evolving Complex System II, pp. 15–44. Addison-Wesley, Reading (1997)Google Scholar
  2. 2.
    Chen, S.-H., Wang, P.P. (eds.): Computational Intelligence in Economics and Finance. Springer, Heidelberg (2003)Google Scholar
  3. 3.
    Chen, S.-H., Wang, P.P., Kuo, T.-W. (eds.): Computational Intelligence in Economics and Finance: Volume II. Springer, Heidelberg (2007)Google Scholar
  4. 4.
    Chen, S.-H., Yeh, C.-H.: On the emergent properties of artificial stock markets: the efficient market hypothesis and the rational expectations hypothesis. Journal of Economic Behavior & Organization 49(2), 217–239 (2002)CrossRefMathSciNetGoogle Scholar
  5. 5.
    Consiglio, A. (ed.): Artificial Markets Modelling: Methods and Applications. Springer, Heidelberg (2007)MATHGoogle Scholar
  6. 6.
    Darley, V., Outkin, A.: A NASDAQ Market Simulation. World Scientific, Singapore (2007)Google Scholar
  7. 7.
    FIX Protocol Ltd. The FIX Guide: Implementing the FIX Protocol. Xlibris (2005)Google Scholar
  8. 8.
    Kurahashi, S., Minami, U., Terano, T.: Why not multiple solutions: Agent-based social interaction analysis via inverse simulation. In: IEEE International Conference on System, Man, and Cybernetics, page 2048 (1999)Google Scholar
  9. 9.
    Lux, T.: The socio-economic dynamics of speculative markets: Interacting agents, chaos, and the fat tails of return distributions. Journal of Economic Behavior & Organization 33, 143–165 (1998)CrossRefGoogle Scholar
  10. 10.
    Palmer, R.G., Arthur, W.B., Holland, J.H., LeBaron, B., Tayler, P.: Artificial economic life: A simple model of a stock market. Physica D 75, 264–274 (1994)MATHCrossRefGoogle Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2010

Authors and Affiliations

  • Fujio Toriumi
    • 1
  • Kiyoshi Izumi
    • 2
  • Hiroki Matsui
    • 3
  1. 1.Graduate School of Information ScienceNagoya University 
  2. 2.Digital HumanResearchCenterAIST 
  3. 3.CMD LaboratoryInc 

Personalised recommendations