A Realization of Robust Agents in an Agent-based Virtual Market Makio Yamashige 3 7
A Realization of Robust Agents in an Agent-based Virtual Market Makio Yamashige Abstract There are many people who try trading in stock by Artificial Intelligence approaches. However most of them have two problems. One is that they don't contain a risk-reducing method and the other is that their simulations depend only on the past price data to show their superiority. In this paper, I propose methods of trading in stock. These methods regard risk-reducing system as important. The risk-reducing system consists of two elements. One is to buy and sell at a safe price. The other is to manage stock position. Finally, I evaluate these methods in an agent-based virtual market, U-Mart.. U-Mart 3 U-Mart 4 5 7 8 9.
U-Mart U-Mart,3 U-Mart 3. U-Mart U-Mart U-Mart U-Mart U-Mart U-Mart
U-Mart 4. U-Mart 4 4.. 3 33 5 4.. 4... MMM Makio Matrix Method( MMM) MMM ( ) MMM n 3
% % MMM 4... A MMM 4
9% 4 MMM 5% 4 3 3 A 4..3. B A 4 B 4..4. C B,,,, % ( 5) MMM A 5
5 5 B 7 pi i p 38 39 ( ) pi K ( ) pi 39( ) p 4 i = pi i 4.3. 5 C 4.3.. NN: NN 4.3...9998594833 J3 99//99//3 NN A A 5. 5.. U-Mart 3
Shakur K.S S.S S.S S.I K.A K.A H.S T.M T.M S.K S.K S.K 3 Random S.S i ii K.A S.K Pre i ii 7 U-Mart 8 T.K Psychological MA 3% Osirator Y.N Y.N Y.N3 Random 3 4 998////4 77 J3TOPIX 99//997//3 MMM MMM 99//997//3 5.. 5... x
average _ profit( x) 77 i = profit( x, i) profit(x, i)x i standard_deviation(x) x average _ profit( x) sharp _ retio( x) standard_deviation(x) U-Mart average_ profit( x) profit _ loss _ retio min_ profit( x) min_profit(x)x 8 5... total _ value x= average _ profit( x) min_ profit min_profit min_profit(x)... 7 8 4 7 J3.8..4. -. 8 TOPIX
4 8 4 3.5.5 9 3 8 4 範 囲 外.5 J3 8 4 範範囲囲外外 TOPIX 8 4 範範囲囲外外.5 -.5 手法 A 手法 B 手法 C Shakur K.S S.S S.S S.I K.A K.A H.S K.A T.M S.K SK S.K 3 K.A T.K Psycological MA osirator Y.N Y.N Y.N 3 4.. A B NN A B B C NN 9
C NN C NN C AB NN C 7. 3 (CBOT) (CME) T-Bond (CBOT) 999/3999/999/9999/ /3/ 8. 8.. 5 7. -. -. -.3 手法 A 手法 B 手法 C 手法 NN 5 3 -. -. -.3 -.4 -.5 -. 手法 A 手法 B 手法 C 手法 NN.5.5 範 範 範 囲 囲 囲 外 外 外 手法 A 手法 B 手法 C 手法 NN 7 T-Bond
8.7..5.4.3.. 手法 A 手法 B 手法 C 手法 NN 8 NN 8.. A B U-Mart U-Mart 9. U-Mart A B A B C C U-Mart NN U-Mart U-Mart U-Mart
C U-Mart Vol.7, pp.4-74, 99 5 Norio Baba et al., A Hybrid Algorithm for Finding the Global Minimum of Error Function of Neural Networks and Its Applications, Neural Networks Vol.7 No.8, pp.53-5, 994 D,,, 999 7,,, 973 8, Pre U-Mart, 3, pp.3-8,, TOPIX - GAs&NNs, 7, pp.-, Koichi Kurumatani Yuhsuke Koyama Takao Terano Hajime Kita Akira Namatame Hiroshi Deguchi Yoshinori Shiozawa Hitoshi Matsubara, U-Mart: A Virtual Stock Market as a Forum for Market Structure Analysis and Engineering, Proceedings of the Fifth Joint Conference on Information Sciences, JCIS', Vol., pp.957-9, 3,, Vol.5 No., pp974-98, 4 Norio Baba Hisashi Handa Masaaki Hayashi, Utilization of neural networks and GAs for constructing an intelligent decision support system to deal stocks, Proceedings of SPIE Conference,