ログイン
言語:

WEKO3

  • トップ
  • ランキング
To
lat lon distance
To

Field does not validate



インデックスリンク

インデックスツリー

メールアドレスを入力してください。

WEKO

One fine body…

WEKO

One fine body…

アイテム

  1. 123 情報学環・学際情報学府
  2. 10 情報学環
  3. 1231010 学術雑誌論文
  1. 0 資料タイプ別
  2. 10 学術雑誌論文
  3. 013 社会科学

Phase Transition in a Foreign Exchange Market : Analysis Based on an Artificial Market Approach

http://hdl.handle.net/2261/7548
http://hdl.handle.net/2261/7548
ae01c709-b94a-4fc3-a879-1be1897dedf1
名前 / ファイル ライセンス アクション
IEEE00956710.pdf IEEE00956710.pdf (297.8 kB)
Item type 学術雑誌論文 / Journal Article(1)
公開日 2007-10-22
タイトル
タイトル Phase Transition in a Foreign Exchange Market : Analysis Based on an Artificial Market Approach
言語
言語 eng
キーワード
主題Scheme Other
主題 Artificial markets
キーワード
主題Scheme Other
主題 foreign exchange markets
キーワード
主題Scheme Other
主題 genetic algorithms
キーワード
主題Scheme Other
主題 micro–macro problems
キーワード
主題Scheme Other
主題 multiagent system
資源タイプ
資源 http://purl.org/coar/resource_type/c_6501
タイプ journal article
著者 Izumi, Kiyoshi

× Izumi, Kiyoshi

WEKO 750

Izumi, Kiyoshi

Search repository
Ueda, Kazuhiro

× Ueda, Kazuhiro

WEKO 751

Ueda, Kazuhiro

Search repository
著者別名
識別子Scheme WEKO
識別子 752
姓名 植田, 一博
著者所属
著者所属 Cyber Assist Research Center, National Institute of Advanced Industrial Science and Technology
著者所属
著者所属 Interfaculty Initiative of Information Studies, University of Tokyo
抄録
内容記述タイプ Abstract
内容記述 In this study, we propose an artificial market approach, which is a new agent-based approach to foreign exchange market studies. Using this approach, emergent phenomena of markets such as the peaked and fat-tailed distribution of rate changes were explained. First, we collected the field data through interviews and questionnaires with dealers and found that the features of dealer interaction in learning were similar to the features of genetic operations in biology. Second, we constructed an artificial market model using a genetic algorithm. Our model was a multiagent system with agents having internal representations about market situations. Finally, we carried out computer simulations with our model using the actual data series of economic fundamentals and political news. We then identified three emergent phenomena of the market. As a result, we concluded that these emergent phenomena could be explained by the phase transition of forecast variety, which is due to the interaction of agent forecasts and the demand-supply balance. In addition, the results of simulation were compared with the field data. The field data supported the simulation results. This approach therefore integrates fieldwork and a multiagent model, and provides a quantitative explanation of micro–macro relations in markets.
書誌情報 IEEE transactions on evolutionary computation

巻 5, 号 5, p. 456-470, 発行日 2001-10
ISSN
収録物識別子タイプ ISSN
収録物識別子 1089778X
書誌レコードID
収録物識別子タイプ NCID
収録物識別子 AA11137410
DOI
識別子タイプ DOI
関連識別子 info:doi/10.1109/4235.956710
権利
権利情報 ©2001 IEEE. Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE.
フォーマット
内容記述タイプ Other
内容記述 application/pdf
日本十進分類法
主題Scheme NDC
主題 548
出版者
出版者 IEEE
戻る
0
views
See details
Views

Versions

Ver.1 2021-03-02 08:51:24.377636
Show All versions

Share

Mendeley Twitter Facebook Print Addthis

Cite as

エクスポート

OAI-PMH
  • OAI-PMH JPCOAR 2.0
  • OAI-PMH JPCOAR 1.0
  • OAI-PMH DublinCore
  • OAI-PMH DDI
Other Formats
  • JSON
  • BIBTEX

Confirm


Powered by WEKO3


Powered by WEKO3