کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
410436 | 679146 | 2009 | 8 صفحه PDF | دانلود رایگان |
The purpose of this study was to extend the simulation of artificial markets to the practical application. We constructed an artificial-market system with an interface with the automated-trading strategies. Then, using an artificial-market simulation, we conducted two types of evaluations of automated-trading strategies that could participate in a Kaburobo competition. (1) Our system evaluated the risks and returns of the strategies in various market environments. An evaluation using the artificial market was able to provide better information than a conventional evaluation using a back test. (2) Our system could also test the market impact of automated-trading strategies. Our results revealed that the market impact of the strategies may not only depend on their rule content but also on the way they are combined with other strategies.
Journal: Neurocomputing - Volume 72, Issues 16–18, October 2009, Pages 3469–3476