Evolutionary Economics and Social Complexity Science

Realistic Simulation of Financial Markets

Analyzing Market Behaviors by the Third Mode of Science

Editors: Kita, Hajime, Taniguchi, Kazuhisa, Nakajima, Yoshihiro (Eds.)

  • Presents the ultra-realistic artificial market simulator U-Mart that can simulate “arrowhead” in the Tokyo Stock Exchange and other markets
  • Draws on more than 10 years of academic experiments to create a unique educational tool
  • Introduces a new approach for interdisciplinary research bringing together economics and engineering
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  • ISBN 978-4-431-55057-0
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  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $129.00
price for USA
  • ISBN 978-4-431-55056-3
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About this book

This book takes up unique agent-based approaches to solving problems related to stock and their derivative markets. Toward this end, the authors have worked for more than 15 years on the development of an artificial market simulator called U-Mart for use as a research and educational tool. A noteworthy feature of the U-Mart simulator compared to other artificial market simulators is that U-Mart is an ultra-realistic artificial stock and their derivative market simulator. For example, it can simulate “arrowhead,” a next-generation trading system used in the Tokyo Stock Exchange and other major markets, as it takes into consideration the institutional design of the entire market. Another interesting feature of the U-Mart simulator is that it permits both human and computer programs to participate simultaneously as traders in the artificial market. In this book, first the details of U-Mart are explained, enabling readers to install and run the simulator on their computers for research and educational purposes. The simulator thus can be used for gaming simulation of the artificial market and even for users as agents to implement their own trading strategies for agent-based simulation (ABS).The book also presents selected research cases using the U-Mart simulator. Here, topics include automated acquisition of trading strategy using artificial intelligence techniques, evaluation of a market maker system to treat thin markets such as those for small and regional businesses, systemic risk analysis of the financial market considering institutional design of the market, and analysis of how humans behave and learn in gaming simulation. New perspectives on artificial market research are provided, and the power, potential, and challenge of ABS are discussed. As explained in this important work, ABS is considered to be an effective tool as the third approach of social science, an alternative to traditional literary and mathematical approaches.

Table of contents (8 chapters)

  • A Guided Tour of the Backside of Agent-Based Simulation

    Shiozawa, Yoshinori

    Pages 3-50

  • Research on ABS and Artificial Market

    Kita, Hajime

    Pages 51-58

  • Building Artificial Markets for Evaluating Market Institutions and Trading Strategies

    Ono, Isao (et al.)

    Pages 59-85

  • A Perspective on the Future of the Smallest Big Project in the World

    Terano, Takao

    Pages 87-93

  • Evolution of Day Trade Agent Strategy by Means of Genetic Programming with Machine Learning

    Mori, Naoki

    Pages 97-115

Buy this book

eBook $99.00
price for USA (gross)
  • ISBN 978-4-431-55057-0
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $129.00
price for USA
  • ISBN 978-4-431-55056-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Realistic Simulation of Financial Markets
Book Subtitle
Analyzing Market Behaviors by the Third Mode of Science
Editors
  • Hajime Kita
  • Kazuhisa Taniguchi
  • Yoshihiro Nakajima
Series Title
Evolutionary Economics and Social Complexity Science
Series Volume
4
Copyright
2016
Publisher
Springer Japan
Copyright Holder
Springer Japan
eBook ISBN
978-4-431-55057-0
DOI
10.1007/978-4-431-55057-0
Hardcover ISBN
978-4-431-55056-3
Series ISSN
2198-4204
Edition Number
1
Number of Pages
XV, 197
Number of Illustrations and Tables
71 b/w illustrations, 17 illustrations in colour
Topics