The investigation of the agent in the artificial market

Takahiro Kitakubo, Yusuke Koyama, Hiroshi Deguchi

研究成果: Conference contribution

抄録

In this paper, we investigate the investment strategy in the artificial market called U-Mart, which is designed to provide a common test bed for researchers in the fields of economics and information sciences. UMIE is the international experiment of U-Mart as a contests of trading agents. We attended UMIE 2003 and 2004, and our agent won the championship in both experiments. We examin why this agent is strong in UMIE environment. The strategy of this agent is called "on-line learning" or "real-time learning". Concretely, the agent exploits and forecasts futures price fluctuations by means of identifying the environment in reinforcement learning. We examined an efficiency of price forecasting in the classified environment. To examine the efficacy of it, we executed experiments 1000 times with UMIE open-type simulation standard toolkits, and we verified that forecasting futures price fluctuation in our strategy is useful for better trading.

元の言語English
ホスト出版物のタイトルLecture Notes in Artificial Intelligence (Subseries of Lecture Notes in Computer Science)
編集者T.G. Kim
ページ215-223
ページ数9
3397
出版物ステータスPublished - 2005
外部発表Yes
イベント13th International Conference on AIS 2004 - Jeju Island, Korea, Republic of
継続期間: 2004 10 42004 10 6

Other

Other13th International Conference on AIS 2004
Korea, Republic of
Jeju Island
期間04/10/404/10/6

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Information science
Experiments
Reinforcement learning
Economics

ASJC Scopus subject areas

  • Hardware and Architecture

これを引用

Kitakubo, T., Koyama, Y., & Deguchi, H. (2005). The investigation of the agent in the artificial market. : T. G. Kim (版), Lecture Notes in Artificial Intelligence (Subseries of Lecture Notes in Computer Science) (巻 3397, pp. 215-223)

The investigation of the agent in the artificial market. / Kitakubo, Takahiro; Koyama, Yusuke; Deguchi, Hiroshi.

Lecture Notes in Artificial Intelligence (Subseries of Lecture Notes in Computer Science). 版 / T.G. Kim. 巻 3397 2005. p. 215-223.

研究成果: Conference contribution

Kitakubo, T, Koyama, Y & Deguchi, H 2005, The investigation of the agent in the artificial market. : TG Kim (版), Lecture Notes in Artificial Intelligence (Subseries of Lecture Notes in Computer Science). 巻. 3397, pp. 215-223, 13th International Conference on AIS 2004, Jeju Island, Korea, Republic of, 04/10/4.
Kitakubo T, Koyama Y, Deguchi H. The investigation of the agent in the artificial market. : Kim TG, 編集者, Lecture Notes in Artificial Intelligence (Subseries of Lecture Notes in Computer Science). 巻 3397. 2005. p. 215-223
Kitakubo, Takahiro ; Koyama, Yusuke ; Deguchi, Hiroshi. / The investigation of the agent in the artificial market. Lecture Notes in Artificial Intelligence (Subseries of Lecture Notes in Computer Science). 編集者 / T.G. Kim. 巻 3397 2005. pp. 215-223
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