Analysis of the market difference using the stock board

Abstract

Recently the artifcial markets are attracting attention of many researchers. To improve the reliability of the artifcial market, it is required to show that the artifcial market reproduce the real market. In this paper, we propose a method to calculate similarity between behaviors of the markets. In this method, we focus on the board data instead of the price data, and perform time-series analysis. Our simulation shows the efectiveness of the proposed method. In addition, we confrm the market difference between before and after the global depression using our method.