株価時系列データを用いた市場参加者の推定

抄録

In arti?cial market studies, agents must do the similar behavior with real market participants. In this paper, we estimate the composition of the real market participants using arti?cial markets. We use an inverse simulation to optimize agents who participate in arti?cial markets. We use stock price time series of the market to evaluate arti?cial markets. In the experiment for verifying the validity of the proposed method, we applies the proposed method to markets in which di?erent participants exist. The result indicates that the proposed method is useful to estimate market participants.