日本計算工学会論文集
Online ISSN : 1347-8826
ISSN-L : 1344-9443
金融市場における日中変動シミュレーション
尹 煕元斎藤 英雄棚橋 隆彦
著者情報
ジャーナル フリー

2001 年 2001 巻 p. 20010036

詳細
抄録
We present a three bodies trading model in markets for a numerical simulation of financial markets. It has three different type agents who correspond to daytraders, market-makers, and investors. Market dynamics can be explained as the result from market participants acting. The model analyzed all trades by non-statistical and non-stochastic approach: calculating interactions among three agents. Practically we develop a computer scheme with combining the presented model and generic algorithms[1]. We show the scheme is able to simulate major stocks in Tokyo Stock Exchange accurately. The scheme can simulate not only the price movement, but also the volume series simultaneously.
著者関連情報
© 2001 The Japan Society For Computational Engineering and Science
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