人工知能学会全国大会論文集
35th (2021)
セッションID: 2N1-IS-2a-03
会議情報

STBM+: Advanced Stochastic Trading Behavior Model for Financial Markets based on Residual Blocks or Transformers
*Masanori HIRANOKiyoshi IZUMIHiroki SAKAJI
著者情報
会議録・要旨集 フリー

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抄録

This paper proposes a new model to reverse engineer and predict traders' behaviors for financial market. In this model, we used an architecture based on the transformer and residual block, and a loss function based on Kullback-Leibler divergence. In addition, we established a new evaluation metric, and consequently, succeeded in constructing a model that outperforms conventional methods and has an efficient architecture. In the future, we will build a model with higher performance and versatility. Moreover, we will introduce this model to financial simulations.

著者関連情報
© 2021 The Japanese Society for Artificial Intelligence
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