A chaos analysis based construction and estimation of artificial stock markets consist of multi-agents

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@PhdThesis{Ogino:thesis,

• author = "Shintaro Ogino",
• title = "A chaos analysis based construction and estimation of artificial stock markets consist of multi-agents",
• school = "Faculty of Environment and Information Sciences, Yokohama National University",
• year = "2005",
• address = "Japan",
• keywords = "genetic algorithms, genetic programming",
• URL = "http://hdl.handle.net/10131/447",
• URL = "http://kamome.lib.ynu.ac.jp/dspace/bitstream/10131/447/1/11656576-01.pdf",
• size = "74 pages",
• abstract = "This thesis compiled a study about market construction / an evaluation method in artificial market analysis I did a rational expectation hypothesis and a strong supposition to say for a price prediction of an investor with the efficient market hypothesis model who became the basics of conventional stock market model. By the test study , I understand that it is difficult that I explain a complicated market change of late years by this model. I make the virtual agent which had a strategy about business in a computer for this, and a study of the artificial heart stock market model that stocks let you have dealings to a group of these agents autonomously is done. I analyse the issue of micro- macro of a market by reverse problem approach by this study, but setting of evaluation value becomes important from an aspect of construction precision by a process building the market On the other hand, it is known that the phenomenon that it was thought that it is random in a study represented by economic time-series analysis economic physics approach shows the change that, actually, is chaotic. I tend, but, as for the example which I pay my attention to chaos characteristics of a market till now, and built a market, it is rare that I adopt statistical numerical value observed in the evaluation from a reality market by a study conventionally Therefore I evaluated it from an aspect of long-term memory characteristics because chaos analysed a got change by interaction of a group of agents, I did comparison with a reality market whether adaptation degree evaluation in a study was enough conventionally, and construction of a market evaluated it from reproduction of the Artificial market which seemed to be reality more in micro- macro problem analysis and a point of view to say As a result, I understood that market construction was insufficient with conventional adaptation degree evaluation value A reality market was able to reproduce a near change than the result that I introduced a chaos ingredient into adaptation degree evaluation value: and did artificial market construction.",
• notes = "In Japanese",

}

Genetic Programming entries for Shintaro Ogino

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