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...
Gespeichert in:
Veröffentlicht in: | Transactions of the Japanese Society for Artificial Intelligence 2012, Vol.27(6), pp.320-327 |
---|---|
Hauptverfasser: | , , |
Format: | Artikel |
Sprache: | eng |
Schlagworte: | |
Online-Zugang: | Volltext |
Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
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 |