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Explanation of binarized time series by a behavioral economic approach

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Agent-Based Approaches in Economic and Social Complex Systems IV

Part of the book series: Agent-Based Social Systems ((ABSS,volume 3))

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Abstract

The aim of this paper is to reveal the relations between time scales and time series properties by concentrating on information requisite for speculators using a genetic learning model of investor sentiment. For this purpose, first we identify the conditions to describe investor sentiment using a variety of parameters of genetic algorithm. Then we calculate auto-correlations and conditional probabilities using the estimated models in the first step. Our results show that both the amount and quality of information for the agents determine the time series properties. This implies that the preciseness of information which speculators permit depends on their time scales.

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Authors and Affiliations

  1. Department of General Systems Studies, Graduate School of Arts and Sciences, University of Tokyo, 3-8-1 Komaba, Meguro-ku, Tokyo, 153-8902, Japan

    Takashi Yamada & Kazuhiro Ueda

  2. Department of Computational Intelligence and System Sciences, Interdisci-plinary Graduate School of Science and Engineering, Tokyo Institute of Technology, Japan

    Takashi Yamada

Authors
  1. Takashi Yamada
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  2. Kazuhiro Ueda
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Editor information

Editors and Affiliations

  1. Interdisciplinary Graduate School of Science and Engineering, Tokyo Institute of Technology, 4259 Nagatsuta-cho, Midori-ku, Yokohama, 226-8502, Japan

    Takao Terano Ph.D. (Professor) & Hiroshi Deguchi Ph.D. (Professor) (Professor) &  (Professor)

  2. Academic Center for Computing and Media Studies, Kyoto University, Yoshida-Nihonmatsu-cho, Sakyo-ku, Kyoto, 606-8501, Japan

    Hajime Kita Dr. Eng. (Professor) (Professor)

  3. Department of Value and Decision Science, Tokyo Institute of Technology, 2-12-1 O-okayama, Meguro-ku, Tokyo, 158-8550, Japan

    Kyoichi Kijima Dr. Eng. (Professor) (Professor)

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Yamada, T., Ueda, K. (2007). Explanation of binarized time series by a behavioral economic approach. In: Terano, T., Kita, H., Deguchi, H., Kijima, K. (eds) Agent-Based Approaches in Economic and Social Complex Systems IV. Agent-Based Social Systems, vol 3. Springer, Tokyo. https://doi.org/10.1007/978-4-431-71307-4_6

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  • DOI: https://doi.org/10.1007/978-4-431-71307-4_6

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  • Publisher Name: Springer, Tokyo

  • Print ISBN: 978-4-431-71306-7

  • Online ISBN: 978-4-431-71307-4

  • eBook Packages: Computer ScienceComputer Science (R0)

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