A108 人工市場における市場の複雑さと個人の複雑さの関係の分析(マルチエージェント金融市場)

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In this study we rethought efficient market hypothesis from a viewpoint of complexity of market participants' prediction methods and market price's dynamics, and examined the hypothesis using simulation results of our artificial market model. And we also analyzed the relation between the dynamics of market prices and market participants' prediction formula using an artificial market model. First, we examined the two condistions, (i) the merit of complicating the prediction formula when the prediction dimension and (ii) the demerit in the whole market. To do so, the change of forecast errors was investigated changing the agents' prediction dimensions. Second, in order to examine the development of the market complexity, we carried out the correlation dimension analysis changing the agents' prediction dimensions. Finaly, we compared the numbers of diverged paths between when all the agents had the same prediction dimensions and when they had different dimensions. As a result, we found the two difference from the hypothesis, (i) While the prediction dimension of agents is small, the structure which can be described to the movement of a market price exists, and the motivation of increasing the prediction dimension exists, (ii) Even if the market participant increases the prediction dimension, the structure of the movement of a market price does not disappear. Finally, however each market participant increases his prediction dimension, he can not predict the market price completely. More over as other relation between the dynamics of market prices and agents' complexity, we found that the convergence of agents' forecast formula prevented the rate divergence.
一般社団法人日本機械学会の論文
2001-11-14

A108 人工市場における市場の複雑さと個人の複雑さの関係の分析(マルチエージェント金融市場)

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