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

Created by W.Langdon from gp-bibliography.bib Revision:1.3872

@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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