Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)

Predicting Technical Investors' Decisions in a Financial Market through Agent-Based Simulation

Authors
Yoshiki Kano 0, Takao Terano
Corresponding Author
Yoshiki Kano
0Tokyo Institute of Technology
Available Online October 2006.
DOI
https://doi.org/10.2991/jcis.2006.328How to use a DOI?
Keywords
Artificial market, Agent based simulation, Behavioral finance,
Abstract
We are developing an artificial stock market model with investor agents in order to analyze characteristics of a market price. In this paper, we analyze the effects of agent’s reaction rate to technical indicators in a financial market. Intensive experiments have suggested that trend follow investor tends to change his reaction rate frequently to increase his wealth. Moreover, we could get positive return using proper technical indicators in a given artificial stock price path. Based on these results, we propose a simple price estimation method in a real financial market.
Open Access
This is an open access article distributed under the CC BY-NC license.

Download article (PDF)

Proceedings
9th Joint International Conference on Information Sciences (JCIS-06)
Part of series
Advances in Intelligent Systems Research
Publication Date
October 2006
ISBN
978-90-78677-01-7
ISSN
1951-6851
DOI
https://doi.org/10.2991/jcis.2006.328How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Yoshiki Kano
AU  - Takao Terano
PY  - 2006/10
DA  - 2006/10
TI  - Predicting Technical Investors' Decisions in a Financial Market through Agent-Based Simulation
BT  - 9th Joint International Conference on Information Sciences (JCIS-06)
PB  - Atlantis Press
SN  - 1951-6851
UR  - https://doi.org/10.2991/jcis.2006.328
DO  - https://doi.org/10.2991/jcis.2006.328
ID  - Kano2006/10
ER  -