人工知能学会論文誌
原著論文
現実の価格決定メカニズムを考慮した人工市場の設定評価手法の開発
水田 孝信八木 勲和泉 潔
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ジャーナル フリー

27 巻 (2012) 6 号 p. 320-327

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We develop a theoretical model to evaluate settings of artificial markets considering a realistic pricing mechanism. We show the model can evaluate the settings in an environment in which a dynamic micro mechanism plays an important role, for example, a price rebound after a sharp fall in stock markets. Styled facts, which are statistics for long term, can not evaluate such a dynamic situation. We emphasis that such a dynamic situation which the styled facts can not evaluates is very important to analyze market crush and/or market regulations.

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© 2012 JSAI (The Japanese Society for Artificial Intelligence)
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