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Paper Abstract and Keywords
Presentation 2007-09-27 10:25
Feature Extraction of Multi-fractal Stock Prices generated by Multi-Agent Systems based on the GP Learning and its Applications to the Estimation of Factors dominating Markets Applications to the Estimation of Factors dominating Markets
Yoshikazu Ikeda (Shinshu Univ.), Shozo Tokinaga (Kyushu Univ.) SIP2007-84 SIS2007-20 SP2007-46
Abstract (in Japanese) (See Japanese page) 
(in English) This report deals with the multi-fractality analysis of artificial stock prices generated by behaviors of multi-agants using GP learning and its applications to recognition of factors governing prices. Then, it is shown that the time series of artificial stock price reveals as a multi-fractal signal. By applying prediction method for mono-fractal time series, the feature of the multi-fractal time series are extracted. We classify several cases by changing the composition (number) of agents of types. A backward method is applied to estimate the composition of agents who are seemed to dominate the stock market by using discriminant analysis.
Keyword (in Japanese) (See Japanese page) 
(in English) Multi-fractal / Artificial stock market / Multi-Agent-based modeling / Genetic Programming / / / /  
Reference Info. IEICE Tech. Rep., vol. 107, no. 234, SIP2007-84, pp. 7-12, Sept. 2007.
Paper # SIP2007-84 
Date of Issue 2007-09-20 (SIP, SIS, SP) 
ISSN Print edition: ISSN 0913-5685    Online edition: ISSN 2432-6380
Copyright
and
reproduction		 All rights are reserved and no part of this publication may be reproduced or transmitted in any form or by any means, electronic or mechanical, including photocopy, recording, or any information storage and retrieval system, without permission in writing from the publisher. Notwithstanding, instructors are permitted to photocopy isolated articles for noncommercial classroom use without fee. (License No.: 10GA0019/12GB0052/13GB0056/17GB0034/18GB0034)
Download PDF SIP2007-84 SIS2007-20 SP2007-46

Conference Information
Committee SIP SIS SP  
Conference Date 2007-09-27 - 2007-09-28 
Place (in Japanese) (See Japanese page) 
Place (in English) Nagoya Inst. of Tech. 
Topics (in Japanese) (See Japanese page) 
Topics (in English) Signal Processing, Intelligent Multimedia Systems, etc. 
Paper Information
Registration To SIP 
Conference Code 2007-09-SIP-SIS-SP 
Language Japanese 
Title (in Japanese) (See Japanese page) 
Sub Title (in Japanese) (See Japanese page) 
Title (in English) Feature Extraction of Multi-fractal Stock Prices generated by Multi-Agent Systems based on the GP Learning and its Applications to the Estimation of Factors dominating Markets Applications to the Estimation of Factors dominating Markets 
Sub Title (in English)  
Keyword(1) Multi-fractal  
Keyword(2) Artificial stock market  
Keyword(3) Multi-Agent-based modeling  
Keyword(4) Genetic Programming  
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1st Author's Name Yoshikazu Ikeda  
1st Author's Affiliation Shinshu University (Shinshu Univ.)
2nd Author's Name Shozo Tokinaga  
2nd Author's Affiliation Kyushu University (Kyushu Univ.)
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Speaker Author-1 
Date Time 2007-09-27 10:25:00 
Presentation Time 25 minutes 
Registration for SIP 
Paper # SIP2007-84, SIS2007-20, SP2007-46 
Volume (vol) vol.107 
Number (no) no.234(SIP), no.236(SIS), no.238(SP) 
Page pp.7-12 
#Pages 6 
Date of Issue 2007-09-20 (SIP, SIS, SP) 

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