文章基本信息

标题：Construction of the Spread Dealer Model and its Application
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作者：Kenta Matsunaga ; Kenta Yamada ; Hideki Takayasu 等
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：2012
卷号：27
期号：6
页码：365-375
DOI：10.1527/tjsai.27.365
出版社：The Japanese Society for Artificial Intelligence
摘要：The dealer model is an agent based model that simulates the simplified dealer's behavior and satisfies various empirical laws of the foreign exchange markets by tuning major three parameters. In this study,we improve the dealer model to satisfy a newly established empirical law about widening of spread as a response to big market price changes. As a result when a big news occurs and the market becomes turbulent, this new model can reproduce broadening of distribution of price change.In a peculiar price change of official intervention in the foreign exchange market by Bank of Japan, this model can be used for estimation of strategies of intervention and responses of the market.
关键词：econophysics ; agent-simulation ; agent-based model ; order book model ; foreign exchange market ; crash ; intervention ; spread ; loss-cut