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Phase Transition in a Foreign Exchange Market : Analysis Based on an Artificial Market Approach
http://hdl.handle.net/2261/7548
http://hdl.handle.net/2261/7548ae01c709-b94a-4fc3-a879-1be1897dedf1
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
IEEE00956710.pdf (297.8 kB)
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| 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× Ueda, Kazuhiro |
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| 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 |
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| 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 | |||||
