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Abstract
This paper introduces an artificial market approach, a new agent-based simulation approach of financial markets, and overviews artificial market researches that test economic theories of financial markets. First, we introduce our study that 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. Then, we review other artificial market studies. Finally, we show some future directions of artificial market studies and their requirements.
Journal
- Journal of the Japan Society for Simulation Technology [List of Volumes]
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Journal of the Japan Society for Simulation Technology 23(3), 183-190, 2004-09-15 [Table of Contents]
Japan Society for Simmulation Technology