Short run dynamics in an artificial futures market with human subjects

  • Authors:

  • Takashi Yamada;Yusuke Koyama;Takao Terano

  • Affiliations:

  • Department of Computational Intelligence and Systems Science, Interdisciplinary Graduate School of Science and Engineering, Tokyo Institute of Technology, Yokohama, Kanagawa, Japan;Department of Computational Intelligence and Systems Science, Interdisciplinary Graduate School of Science and Engineering, Tokyo Institute of Technology, Yokohama, Kanagawa, Japan;Department of Computational Intelligence and Systems Science, Interdisciplinary Graduate School of Science and Engineering, Tokyo Institute of Technology, Yokohama, Kanagawa, Japan

  • Venue:
  • IDEAL'07 Proceedings of the 8th international conference on Intelligent data engineering and automated learning
  • Year:
  • 2007

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Abstract

This paper presents the computational results obtained in the strategy experiments in an artificial futures market with human subjects. Participants submit their own strategy files and they receive the performances of all the market participants in order to improve for the next round. After two-round experiments, simulations with only machine agents are run. We find that the time series data support so-called stylized facts in some regards and that experiments of human subjects seem to make the prices be closer to a theoretical value.