資産分布を考慮したディーラーモデル

濱口 憲太; 長谷川 智史; 穴田 一; Hajime ANADA

doi:10.11517/jsaisigtwo.2014.fin-013_05

資産分布を考慮したディーラーモデル

Translated title of the contribution: Stochastic dealer model for financial markets taking the asset distribution into account

濱口憲太, 長谷川智史, 穴田一, Hajime ANADA

Department of Intelligent Systems

Research output: Contribution to journal › Article

Abstract

There are many researches to investigate mechanism of financial markets using artificial market model. Yamada et al. construct the stochastic dealer model for financial markets. This model achieved remarkable results. But they don't take volume of orders into account. Then we construct a stochastic dealer model taking the volume of orders into account.

Translated title of the contribution	Stochastic dealer model for financial markets taking the asset distribution into account
Original language	Japanese
Pages (from-to)	05 -
Journal	JSAI Technical Report, Type 2 SIG
Volume	2014
Issue number	FIN-013
DOIs	https://doi.org/10.11517/jsaisigtwo.2014.fin-013_05
State	Published - 11 Oct 2014

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title = "資産分布を考慮したディーラーモデル",

abstract = "There are many researches to investigate mechanism of financial markets using artificial market model. Yamada et al. construct the stochastic dealer model for financial markets. This model achieved remarkable results. But they don't take volume of orders into account. Then we construct a stochastic dealer model taking the volume of orders into account.",

author = "\{濱口憲太\} and \{長谷川智史\} and \{穴田一\} and Hajime ANADA",

year = "2014",

month = oct,

day = "11",

doi = "10.11517/jsaisigtwo.2014.fin-013\_05",

language = "Japanese",

volume = "2014",

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publisher = "The Japanese Society for Artificial Intelligence",

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AU - 濱口憲太, null

AU - 長谷川智史, null

AU - 穴田一, null

AU - ANADA, Hajime

PY - 2014/10/11

Y1 - 2014/10/11

N2 - There are many researches to investigate mechanism of financial markets using artificial market model. Yamada et al. construct the stochastic dealer model for financial markets. This model achieved remarkable results. But they don't take volume of orders into account. Then we construct a stochastic dealer model taking the volume of orders into account.

AB - There are many researches to investigate mechanism of financial markets using artificial market model. Yamada et al. construct the stochastic dealer model for financial markets. This model achieved remarkable results. But they don't take volume of orders into account. Then we construct a stochastic dealer model taking the volume of orders into account.

U2 - 10.11517/jsaisigtwo.2014.fin-013_05

DO - 10.11517/jsaisigtwo.2014.fin-013_05

M3 - 記事

SN - 2436-5556

VL - 2014

SP - 05 -

JO - JSAI Technical Report, Type 2 SIG

JF - JSAI Technical Report, Type 2 SIG

IS - FIN-013

ER -

資産分布を考慮したディーラーモデル

Abstract

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