A110 ポートフォリオに基づく意志決定エージェント群の導入による市場構造の変化に関する考察(マルチエージェント金融市場)

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In recent years, it has been popular that economic and financial system is researched by multi-agent approach of Artificial Intelligence. The representative system is Artificial Market. Almost all of the researchers report the behavior of macro market prices constracted by micro trading agents who invest in single investment. But market participants in real Market make decision on plural investment outlets. If we extends a market model dealing plural investments, the market participants can make the portfolio dealing with the plural brands. Portfolio means the composition of assets. If market participants can make the hedge the spot and future prices of the same brand, also make arbitrage trading for difference between the spot and future prices. As a result, design of the trading systems become more close to real trading. Trading agents who take allowance for multiple brands make more complex decisions.The complexity of make-decision might have a influence on market prices. Therefore, in this paper, we designed two kinds of trading agent. First agent is trend agent. They were supposed that market participants make trend by the influence of fundamental information for social situation. The other agent is portfolio agent. It makes decision on multiple investments based on Mean-Variance Approach of Markowitz in Portfolio Selection Theory. Portfolio Selection Theory was one fomularized as a mathmatic model of composition of each financial assets (cash, bond, deposit, stock) in order to gain more profits when market participants plan to use property for a fixed period of time. Mean-Variance Approach of Markowitz was a basic and representative model in Portfolio Selection Theory, and that market participants should make decisions on two criteria Mean and Variance of each profit rates in each financial assets, efficiently invest in various assets. When they participate in X-Economy Artificial Market. X-Economy is the project aiming for foundation of standard problem as artificial economic and financial systems. By X-Economy system, it could be possible to constract arbitrary system design for investigation of behavior of social economic and financial systems between collective behavior of micro scale agents and emergent behavior of macro scale stock prices. By X-Economy server-client System, we designed Artificial Market dealing four financial goods and one no risky capital. We make two kinds of trading agent participate in the Artificial Market.
社団法人日本機械学会の論文
2001-11-14

A110 ポートフォリオに基づく意志決定エージェント群の導入による市場構造の変化に関する考察(マルチエージェント金融市場)

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