文章基本信息

标题：Analysis of Foreign Exchange Interventions by Intervention Agent with an Artificial Market Approach
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作者：Hiroki Matsui ; Satoshi Tojo
期刊名称：人工知能学会論文誌
印刷版ISSN：1346-0714
电子版ISSN：1346-8030
出版年度：2005
卷号：20
期号：1
页码：36-45
DOI：10.1527/tjsai.20.36
出版社：The Japanese Society for Artificial Intelligence
摘要：We propose a multi-agent system which learns intervention policies and evaluates the effect of interventions in an artificial foreign exchange market. Izumi et al. had presented a system called AGEDASI TOF to simulate artificial market, together with a support system for the government to decide foreign exchange policies. However, the system needed to fix the amount of governmental intervention prior to the simulation, and was not realistic. In addition, the interventions in the system did not affect supply and demand of currencies; thus we could not discuss the effect of intervention correctly. First, we improve the system so as to make much of the weights of influential factors. Thereafter, we introduce an intervention agent that has the role of the central bank to stabilize the market. We could show that the agent learned the effective intervention policies through the reinforcement learning, and that the exchange rate converged to a certain extent in the expected range. We could also estimate the amount of intervention, showing the efficacy of signaling. In this model, in order to investigate the aliasing of the perception of the intervention agent, we introduced a pseudo-agent who was supposed to be able to observe all the behaviors of dealer agents; with this super-agent, we discussed the adequate granularity for a market state description.
关键词：artificial market ; multi-agent system ; foreign exchange market ; reinforcement learning ; complex system