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Paper Abstract and Keywords
Presentation 2010-03-04 10:30
Classification of Agents' Behavior from Stock Prices in the Artificial Stock Markets consisting of Multi-agents with Evolutionary Learning by applying Estimation of Jump Markov Systems by using Particle Filters
Shozo Tokinaga (Kyushu Univ), Yoshinori Kishikawa (Ube Tec Coll) SIS2009-48
Abstract (in Japanese) (See Japanese page) 
(in English) This report delas with the
classification of agents' behavior from stock prices
in artificial stock markets consisting of multi-agents
with evolutionary learning where we apply the state estimation of
jump Markov systems by using Particle Filters (PFs).
There are several works for modeling
artificial stock prices by using evolutionary learning of
however, these
results are obtained sufficient number of simulation studies.
We utilize the scheme of jump Markov system where
the system behavior is switched among several state equations
according to a Markov process. Then we use
PFs for the estimation of state. As applications, we show
the estimation of
state transition of agents behaviors base on the jump Markov
linear systems for artificial stock markets.
Keyword (in Japanese) (See Japanese page) 
(in English) Time series modeling / Multi-Agent-based modeling / Evolutionary learning / Jump Marrkov systems / Particle filters / / /  
Reference Info. IEICE Tech. Rep., vol. 109, no. 447, SIS2009-48, pp. 1-6, March 2010.
Paper # SIS2009-48 
Date of Issue 2010-02-25 (SIS) 
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 SIS2009-48

Conference Information
Committee SIS  
Conference Date 2010-03-04 - 2010-03-05 
Place (in Japanese) (See Japanese page) 
Place (in English) Kanagawa Institute of Technology 
Topics (in Japanese) (See Japanese page) 
Topics (in English)  
Paper Information
Registration To SIS 
Conference Code 2010-03-SIS 
Language Japanese 
Title (in Japanese) (See Japanese page) 
Sub Title (in Japanese) (See Japanese page) 
Title (in English) Classification of Agents' Behavior from Stock Prices in the Artificial Stock Markets consisting of Multi-agents with Evolutionary Learning by applying Estimation of Jump Markov Systems by using Particle Filters 
Sub Title (in English)  
Keyword(1) Time series modeling  
Keyword(2) Multi-Agent-based modeling  
Keyword(3) Evolutionary learning  
Keyword(4) Jump Marrkov systems  
Keyword(5) Particle filters  
Keyword(6)  
Keyword(7)  
Keyword(8)  
1st Author's Name Shozo Tokinaga  
1st Author's Affiliation Kyushu University (Kyushu Univ)
2nd Author's Name Yoshinori Kishikawa  
2nd Author's Affiliation Ube Technical College (Ube Tec Coll)
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Speaker Author-2 
Date Time 2010-03-04 10:30:00 
Presentation Time 25 minutes 
Registration for SIS 
Paper # SIS2009-48 
Volume (vol) vol.109 
Number (no) no.447 
Page pp.1-6 
#Pages 6 
Date of Issue 2010-02-25 (SIS) 

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