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(3 articles matched your search)

Agent-Based Approach to Investors? Behavior and Asset Price Fluctuation in Financial Markets

Hiroshi Takahashi and Takao Terano
Journal of Artificial Societies and Social Simulation 6 (3) 3

Abstract: In this paper, we use Agent-Based Approach to analyze how asset prices are affected by investors and investment systems that are based on Behavioral Finance. We build a virtual financial market that contains two types of investors: fundamentalists and non-fundamentalists. As a result of intensive experiments in the market, we find that (1) the traded price agrees with the fundamental value and the fundamentalists survive according to the principle of natural selection in the case that the market contains the same number of fundamentalists and trend predictors (investors who make trend prediction), (2) the traded price largely deviates from the fundamental value and the non-fundamentalists frequently obtain excess returns and therefore the fundamentalists are eliminated according to the principle of natural selection in the case that the proportion of trend predictors is extremely high or in the case that the investment ratio of the risk asset is restricted, and (3) the traded price largely deviates from the fundamental value in the case that the non-fundamentalists estimate the losses excessively, as pointed in Prospect Theory. These results indicate that the non-fundamentalists affect the traded prices and obtain excess returns also in real markets.

Agent-Based Simulation on Women's Role in a Family Line on Civil Service Examination in Chinese History

Chao Yang, Kurahashi Setsuya, Keiko Kurahashi, Isao Ono and Takao Terano
Journal of Artificial Societies and Social Simulation 12 (2) 5

Abstract: In this paper, following our previous work on civil service examinations in imperial China, we investigate women's role in a Chinese historical family line using an agent-based simulation (ABS) model with a grid oriented genetic algorithm (GOGA) framework. We utilize a GOGA framework, because our ABS had such large parameter spaces with real values that it required much greater computational resources. First, we studied the genealogical records. Second, based on that study, we implemented an agent-based model with the family lines branched out into two clusters to compare different family norms. Third, using an "inverse simulation" technique, we optimized the agent-based model in order to fit the simulation profiles to real profile data with real-coded GA. From these intensive experiments, we have found that (1) The combined influence of the father, uncle, mother and the aunt has important significance in maintaining a successful family norm, and (2) a particular role of the aunt to pass it on as well.

Cooperation in the Prisoner's Dilemma Game Based on the Second-Best Decision

Tetsushi Ohdaira and Takao Terano
Journal of Artificial Societies and Social Simulation 12 (4) 7

Abstract: In the research addressing the prisoner's dilemma game, the effectiveness and accountableness of the method allowing for the emergence of cooperation is generally discussed. The most well-known solutions for this question are memory based iteration, the tag used to distinguish between defector and cooperator, the spatial structure of the game and the either direct or indirect reciprocity. We have also challenged to approach the topic from a different point of view namely that temperate acquisitiveness in decision making could be possible to achieve cooperation. It was already shown in our previous research that the exclusion of the best decision had a remarkable effect on the emergence of an almost cooperative state. In this paper, we advance the decision of our former research to become more explainable by introducing the second-best decision. If that decision is adopted, players also reach an extremely high level cooperative state in the prisoner's dilemma game and also in that of extended strategy expression. The cooperation of this extended game is facilitated only if the product of two parameters is under the criticality. In addition, the applicability of our model to the problem in the real world is discussed.