著者

松永 健太 山田 健太 高安 秀樹 高安 美佐子

出版者

一般社団法人 人工知能学会

雑誌

人工知能学会論文誌 (ISSN:13460714)

巻号頁・発行日

vol.27, no.6, pp.365-375, 2012 (Released:2012-09-27)

参考文献数

27

被引用文献数

2

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The dealer model is an agent based model that simulates the simplified dealer's behavior and satisfies various empirical laws of the foreign exchange markets by tuning major three parameters. In this study,we improve the dealer model to satisfy a newly established empirical law about widening of spread as a response to big market price changes. As a result when a big news occurs and the market becomes turbulent, this new model can reproduce broadening of distribution of price change.In a peculiar price change of official intervention in the foreign exchange market by Bank of Japan, this model can be used for estimation of strategies of intervention and responses of the market.