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Paper Abstract and Keywords
Presentation 2008-03-07 09:25
Evaluation of Trading Algorithms by an Artificial Market
Kiyoshi Izumi (AIST), Fujio Toriumi (Nagoya Univ.), Hiroki Matsui (CMD) AI2007-61
Abstract (in Japanese) (See Japanese page) 
(in English) In this paper, we proposed an evaluation system of automated trading programs using artificial market simulation. First, our system tested the market impact of automated trading programs. The results revealed that a market impact of an automated trading program may depend not only on a content of its rule but also on a way of combination with other programs. Next, we evaluated risk and returns of the programs under various market environment. The evaluation by an artificial market was able to give richer information than the conventional evaluation by a back test.
Keyword (in Japanese) (See Japanese page) 
(in English) Artificial Market / Automated trading program / Market mechanism / Multi-agent simulation / / / /  
Reference Info. IEICE Tech. Rep., vol. 107, no. 523, AI2007-61, pp. 103-107, March 2008.
Paper # AI2007-61 
Date of Issue 2008-02-27 (AI) 
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 AI2007-61

Conference Information
Committee AI IPSJ-ICS  
Conference Date 2008-03-05 - 2008-03-07 
Place (in Japanese) (See Japanese page) 
Place (in English)  
Topics (in Japanese) (See Japanese page) 
Topics (in English)  
Paper Information
Registration To AI 
Conference Code 2008-03-AI-ICS 
Language Japanese 
Title (in Japanese) (See Japanese page) 
Sub Title (in Japanese) (See Japanese page) 
Title (in English) Evaluation of Trading Algorithms by an Artificial Market 
Sub Title (in English)  
Keyword(1) Artificial Market  
Keyword(2) Automated trading program  
Keyword(3) Market mechanism  
Keyword(4) Multi-agent simulation  
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1st Author's Name Kiyoshi Izumi  
1st Author's Affiliation AIST (AIST)
2nd Author's Name Fujio Toriumi  
2nd Author's Affiliation Nagoya Univ. (Nagoya Univ.)
3rd Author's Name Hiroki Matsui  
3rd Author's Affiliation CMD Lab. (CMD)
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Speaker Author-2 
Date Time 2008-03-07 09:25:00 
Presentation Time 25 minutes 
Registration for AI 
Paper # AI2007-61 
Volume (vol) vol.107 
Number (no) no.523 
Page pp.103-107 
#Pages 5 
Date of Issue 2008-02-27 (AI) 

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