Artificial Market Experiments With The U-Mart System

by Shiozawa, Yoshinori; Matsui, Hiroyuki, Ph.D.; Taniguchi, Kazuhisa, Ph.D.; Nakajima, Yoshihiro, Ph.D.; Koyama, Yusuke, Ph.D.

• ISBN13: 9784431768227
• ISBN10: 443176822X
• eBook ISBN(s): 9784431768234
• Edition: 4th
• Format: Hardcover
• Copyright: 2008-02-28
• Publisher: Springer Verlag
• More Book Details
• Purchase Benefits

Summary

Economics went through great development in the 20th century. This development, which was based mainly on mathematical methods, is not an appropriate method of analyzing markets that change every hour and every day. In a stock market, prices constantly change depending on speculation. U-Mart, a manmade market, has been proposed in order to study such instantly moving markets. Although the U-Mart system is internationally acclaimed for being at the forefront of market research, its use is by no means limited to a small number of researchers on the fringe. The whole system, including its source code, is open and is distributed without charge, testifying to a philosophy of creating and providing a common test bed for research into financial markets.

Table of Contents

Practice
How to Use the U-Mart Market Simulator	p. 3
The U-Mart System	p. 3
Let Us Start	p. 4
CD-ROM Setup	p. 4
Run and Settings	p. 4
Date and Session	p. 5
Placing Orders	p. 7
Various Tabs	p. 8
Final Settlement	p. 8
Quitting	p. 8
Let Us Trade	p. 9
Settings	p. 9
Futures Trading	p. 10
Placing Orders	p. 10
Canceling Orders	p. 10
Orders and Contract	p. 11
Market and Limit Order	p. 11
Guarantee System	p. 12
Bankruptcy	p. 14
Closed Trade	p. 15
Order Book	p. 16
Partial Contracts	p. 17
Various Information	p. 19
Other Textboxes	p. 19
Chart	p. 19
Order Book	p. 20
Contracts Information	p. 21
Profits	p. 21
Positions	p. 21
Stdout	p. 22
Pull-Down Menu	p. 22
How to Use the U-Mart System Network Edition	p. 23
Introduction	p. 23
Preparation	p. 23
Network Environment	p. 23
Market Server Operation Environment	p. 24
Client PC Requirements	p. 25
Market Server Installation	p. 25
Starting Market Server	p. 28
How to Start	p. 28
Experimental Environment Settings	p. 29
Trading Experiments	p. 31
How to Connect to the Exchange Using a Trading Terminal	p. 31
Market Server Functions	p. 34
Transaction Experiment Termination	p. 35
Configuration Files	p. 37
Time Series Configurations (j30.csv)	p. 38
Configuration of Experimental Conditions (TimeSeriesDefinitions.csv)	p. 39
Agent Settings (MembersSA.csv, MembersNet.csv, Institution.csv)	p. 40
Analyzing Log Files	p. 41
Log Analyzer	p. 41
How to Use Log Analyzer	p. 42
Display Contents	p. 43
Futures Market and U-Mart Experiment	p. 47
Introduction	p. 47
Futures Market	p. 47
Futures Market Mechanism	p. 47
Futures Market Functions	p. 49
Classification of Futures Market Participants	p. 52
Settlement System in Futures Market	p. 52
How Orders and Contracts are Taken Place	p. 57
Stock Index Futures Trading in Japan	p. 61
Nikkei Index (Nikkei 225)	p. 62
Nikkei Stock Index 300 (Nikkei 300)	p. 63
Tokyo Stock Exchange Stock Price Index (TOPIX)	p. 64
J30	p. 64
Investing Basics	p. 65
Fundamental Analysis	p. 66
Technical Analysis	p. 68
Artificial Market Study and U-Mart	p. 74
What is an Artificial Market?	p. 74
Bid Type	p. 76
Function-Send Type	p. 77
Particle Type	p. 80
Application
A Case of U-Mart Experiment by Human Agents	p. 87
Introduction	p. 87
Objectives of Experiment	p. 88
Preparation: Learning of Futures Market and Pilot Experiment	p. 88
Experimental Environment	p. 89
Conditions for Trading	p. 89
Availability of Order Book	p. 90
Spot Price Data	p. 90
Results	p. 91
Movement in Forward Price	p. 91
Availability of Order Book and Execution Rate	p. 93
Changes in Order Volume and the Number of Orders	p. 96
Changes in Position	p. 97
Changes in Realized Profit and Loss	p. 98
Conclusion	p. 98
Statistical Analysis of U-Mart Experiments by Humans	p. 103
Introduction	p. 103
What (Conceptual) Preparation is Required?	p. 104
Observation and Experiment	p. 104
Description Statistics and Experimental Plan	p. 105
Experimental Plan and Reminders Assuming Statistical Processing	p. 105
Data Extraction with Excel	p. 107
Simple Statistical Analysis with Excel	p. 107
Somewhat Full-Fledged Statistical Analysis with SPSS	p. 108
Various Types of Statistical Methods Applicable to Analyze the U-Mart Experiment	p. 109
ANOVA (Analysis of Variance)	p. 109
Regression Analysis	p. 109
Factor Analysis	p. 110
Quantification Theory	p. 110
Details of Respective Statistical Analysis Methods	p. 110
Description of Analysis of Variance	p. 110
Description of Multi-Regression Analysis	p. 111
Description of Factor Analysis	p. 112
Description of Quantitative Theory	p. 112
Possibility and Meaning of the U-Mart	p. 113
Introduction	p. 113
A Short History of Economics	p. 113
Three Classifications of Economics	p. 114
Deadlock of Neoclassical Economics	p. 115
Necessity of a Scientific Revolution in Economics	p. 116
New Paradigm and New Study Approach	p. 116
Financial Market	p. 117
Day Traders as an Example	p. 118
Possibility of Multi-agent Model	p. 119
Behavioral Evolution and Micro-Macro Loop	p. 120
Behavior Formulation	p. 121
Micro-Macro Loop	p. 121
Beyond Methodological Individualism	p. 124
Review and Perspective of U-Mart Project	p. 125
U-Mart as Artificial Market	p. 125
Some Methodological Issues	p. 126
Success Factors of U-Mart	p. 128
Future Issues and Perspective	p. 130
Thin Market	p. 130
Support for Institutional Design	p. 132
Attached CD-ROM Composition	p. 133
Log Format	p. 135
Log Format of Market Simulator and Market Server	p. 135
Log Format of Trading Terminal	p. 136
Machine Agents Embedded in the U-Mart System	p. 137
Publication List	p. 149
Bibliography	p. 155
Index	p. 159
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