金融市場における日中変動シミュレーション(第2報)

抄録

We showed new financial market simulation methodology and its application result. We developed the three agents model that was suggested in previous paper[1], and enhanced intraday simulation scheme in order to discuss market complex structure. Although there are many approaches to analyze financial market, we indicate agent simulation is one of the most powerful tools to elucidate financial market structure, particularly in intraday movement study. Applying new scheme for Japanese equity market, intraday fluctuation can be simulated qualitatively. Lastly we discuss existence of multi scenarios in financial market and refer to the possibility of multi scenario structure.