Evaluation of automated-trading strategies using an artificial market

被引：10

作者：

Izumi, K. ^{[1
]}

Toriumi, F. ^{[2
]}

Matsui, H. ^{[3
]}

机构：

[1] AIST, Digital Human Res Ctr, Koto Ku, Tokyo 1350064, Japan

[2] Nagoya Univ, Grad Sch Informat Sci, Chikusa Ku, Nagoya, Aichi 4648601, Japan

[3] CMD Lab Inc, Shibuya Ku, Tokyo 1510051, Japan

来源：

NEUROCOMPUTING | 2009年 / 72卷 / 16-18期

关键词：

Artificial market; Automated-trading strategy; Market mechanism; Multi-agent simulation;

D O I：

10.1016/j.neucom.2008.07.020

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

The purpose of this study was to extend the simulation of artificial markets to the practical application. We constructed an artificial-market system with an interface with the automated-trading strategies. Then, using an artificial-market simulation, we conducted two types of evaluations of automated-trading strategies that could participate in a Kaburobo competition. (1) Our system evaluated the risks and returns of the strategies in various market environments. An evaluation using the artificial market was able to provide better information than a conventional evaluation using a back test. (2) Our system could also test the market impact of automated-trading strategies. Our results revealed that the market impact of the strategies may not only depend on their rule content but also on the way they are combined with other strategies. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：3469 / 3476

页数：8

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