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人工知能学会論文誌
Vol. 27 (2012) No. 6 特集論文 「ファイナンスにおける人工知能応用」,一般論文 p. 320-327

記事言語:

http://doi.org/10.1527/tjsai.27.320

原著論文

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.

Copyright © 2012 JSAI (The Japanese Society for Artificial Intelligence)

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