実市場データをもとにポートフォリオ運用を行うエージェントを用いた人工市場による株価予測

抄録

We simulate stock returns using the artificial market using agents managing portfolio on real market data. In this model to couple real markets and an artificial market, cash inflows (outflows) to (from) agents are estimated by stock returns of the real markets. Our model can predict stock returns on some level.