Short run dynamics in an artificial futures market with human subjects

Takashi Yamada, Yusuke Koyama, Takao Terano

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

This paper presents the computational results obtained in the strategy experiments in an artificial futures market with human subjects. Participants submit their own strategy files and they receive the performances of all the market participants in order to improve for the next round. After two-round experiments, simulations with only machine agents are run. We find that the time series data support so-called stylized facts in some regards and that experiments of human subjects seem to make the prices be closer to a theoretical value.

Original languageEnglish
Title of host publicationLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Pages1092-1101
Number of pages10
Volume4881 LNCS
Publication statusPublished - 2007
Externally publishedYes
Event8th International Conference on Intelligent Data Engineering and Automated Learning, IDEAL 2007 - Birmingham, United Kingdom
Duration: 2007 Dec 162007 Dec 19

Publication series

NameLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume4881 LNCS
ISSN (Print)03029743
ISSN (Electronic)16113349

Other

Other8th International Conference on Intelligent Data Engineering and Automated Learning, IDEAL 2007
CountryUnited Kingdom
CityBirmingham
Period07/12/1607/12/19

Fingerprint

Experiments
Time series
Financial markets

ASJC Scopus subject areas

  • Computer Science(all)
  • Biochemistry, Genetics and Molecular Biology(all)
  • Theoretical Computer Science

Cite this

Yamada, T., Koyama, Y., & Terano, T. (2007). Short run dynamics in an artificial futures market with human subjects. In Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (Vol. 4881 LNCS, pp. 1092-1101). (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 4881 LNCS).

Short run dynamics in an artificial futures market with human subjects. / Yamada, Takashi; Koyama, Yusuke; Terano, Takao.

Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics). Vol. 4881 LNCS 2007. p. 1092-1101 (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 4881 LNCS).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Yamada, T, Koyama, Y & Terano, T 2007, Short run dynamics in an artificial futures market with human subjects. in Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics). vol. 4881 LNCS, Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), vol. 4881 LNCS, pp. 1092-1101, 8th International Conference on Intelligent Data Engineering and Automated Learning, IDEAL 2007, Birmingham, United Kingdom, 07/12/16.
Yamada T, Koyama Y, Terano T. Short run dynamics in an artificial futures market with human subjects. In Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics). Vol. 4881 LNCS. 2007. p. 1092-1101. (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)).
Yamada, Takashi ; Koyama, Yusuke ; Terano, Takao. / Short run dynamics in an artificial futures market with human subjects. Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics). Vol. 4881 LNCS 2007. pp. 1092-1101 (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)).
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