Development of an Evaluation Method for Artificial Market Settings Considering a Realistic Pricing Mechanism

We develop a theoretical model to evaluate settings of artificial markets considering a realistic pricing mechanism. We show the model can evaluate the settings in an environment in which a dynamic micro mechanism plays an important role, for example, a price rebound after a sharp fall in stock mark...

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Veröffentlicht in:Transactions of the Japanese Society for Artificial Intelligence 2012, Vol.27(6), pp.320-327
Hauptverfasser: Mizuta, Takanobu, Yagi, Isao, Izumi, Kiyoshi
Format: Artikel
Sprache:eng
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Zusammenfassung:We develop a theoretical model to evaluate settings of artificial markets considering a realistic pricing mechanism. We show the model can evaluate the settings in an environment in which a dynamic micro mechanism plays an important role, for example, a price rebound after a sharp fall in stock markets. Styled facts, which are statistics for long term, can not evaluate such a dynamic situation. We emphasis that such a dynamic situation which the styled facts can not evaluates is very important to analyze market crush and/or market regulations.
ISSN:1346-0714
1346-8030
DOI:10.1527/tjsai.27.320