Artificial Market Experiments With The U-Mart System

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  • Edition: 4th
  • Format: Hardcover
  • Copyright: 2008-02-28
  • Publisher: Springer Verlag

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Supplemental Materials

What is included with this book?


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

How to Use the U-Mart Market Simulatorp. 3
The U-Mart Systemp. 3
Let Us Startp. 4
CD-ROM Setupp. 4
Run and Settingsp. 4
Date and Sessionp. 5
Placing Ordersp. 7
Various Tabsp. 8
Final Settlementp. 8
Quittingp. 8
Let Us Tradep. 9
Settingsp. 9
Futures Tradingp. 10
Placing Ordersp. 10
Canceling Ordersp. 10
Orders and Contractp. 11
Market and Limit Orderp. 11
Guarantee Systemp. 12
Bankruptcyp. 14
Closed Tradep. 15
Order Bookp. 16
Partial Contractsp. 17
Various Informationp. 19
Other Textboxesp. 19
Chartp. 19
Order Bookp. 20
Contracts Informationp. 21
Profitsp. 21
Positionsp. 21
Stdoutp. 22
Pull-Down Menup. 22
How to Use the U-Mart System Network Editionp. 23
Introductionp. 23
Preparationp. 23
Network Environmentp. 23
Market Server Operation Environmentp. 24
Client PC Requirementsp. 25
Market Server Installationp. 25
Starting Market Serverp. 28
How to Startp. 28
Experimental Environment Settingsp. 29
Trading Experimentsp. 31
How to Connect to the Exchange Using a Trading Terminalp. 31
Market Server Functionsp. 34
Transaction Experiment Terminationp. 35
Configuration Filesp. 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 Filesp. 41
Log Analyzerp. 41
How to Use Log Analyzerp. 42
Display Contentsp. 43
Futures Market and U-Mart Experimentp. 47
Introductionp. 47
Futures Marketp. 47
Futures Market Mechanismp. 47
Futures Market Functionsp. 49
Classification of Futures Market Participantsp. 52
Settlement System in Futures Marketp. 52
How Orders and Contracts are Taken Placep. 57
Stock Index Futures Trading in Japanp. 61
Nikkei Index (Nikkei 225)p. 62
Nikkei Stock Index 300 (Nikkei 300)p. 63
Tokyo Stock Exchange Stock Price Index (TOPIX)p. 64
J30p. 64
Investing Basicsp. 65
Fundamental Analysisp. 66
Technical Analysisp. 68
Artificial Market Study and U-Martp. 74
What is an Artificial Market?p. 74
Bid Typep. 76
Function-Send Typep. 77
Particle Typep. 80
A Case of U-Mart Experiment by Human Agentsp. 87
Introductionp. 87
Objectives of Experimentp. 88
Preparation: Learning of Futures Market and Pilot Experimentp. 88
Experimental Environmentp. 89
Conditions for Tradingp. 89
Availability of Order Bookp. 90
Spot Price Datap. 90
Resultsp. 91
Movement in Forward Pricep. 91
Availability of Order Book and Execution Ratep. 93
Changes in Order Volume and the Number of Ordersp. 96
Changes in Positionp. 97
Changes in Realized Profit and Lossp. 98
Conclusionp. 98
Statistical Analysis of U-Mart Experiments by Humansp. 103
Introductionp. 103
What (Conceptual) Preparation is Required?p. 104
Observation and Experimentp. 104
Description Statistics and Experimental Planp. 105
Experimental Plan and Reminders Assuming Statistical Processingp. 105
Data Extraction with Excelp. 107
Simple Statistical Analysis with Excelp. 107
Somewhat Full-Fledged Statistical Analysis with SPSSp. 108
Various Types of Statistical Methods Applicable to Analyze the U-Mart Experimentp. 109
ANOVA (Analysis of Variance)p. 109
Regression Analysisp. 109
Factor Analysisp. 110
Quantification Theoryp. 110
Details of Respective Statistical Analysis Methodsp. 110
Description of Analysis of Variancep. 110
Description of Multi-Regression Analysisp. 111
Description of Factor Analysisp. 112
Description of Quantitative Theoryp. 112
Possibility and Meaning of the U-Martp. 113
Introductionp. 113
A Short History of Economicsp. 113
Three Classifications of Economicsp. 114
Deadlock of Neoclassical Economicsp. 115
Necessity of a Scientific Revolution in Economicsp. 116
New Paradigm and New Study Approachp. 116
Financial Marketp. 117
Day Traders as an Examplep. 118
Possibility of Multi-agent Modelp. 119
Behavioral Evolution and Micro-Macro Loopp. 120
Behavior Formulationp. 121
Micro-Macro Loopp. 121
Beyond Methodological Individualismp. 124
Review and Perspective of U-Mart Projectp. 125
U-Mart as Artificial Marketp. 125
Some Methodological Issuesp. 126
Success Factors of U-Martp. 128
Future Issues and Perspectivep. 130
Thin Marketp. 130
Support for Institutional Designp. 132
Attached CD-ROM Compositionp. 133
Log Formatp. 135
Log Format of Market Simulator and Market Serverp. 135
Log Format of Trading Terminalp. 136
Machine Agents Embedded in the U-Mart Systemp. 137
Publication Listp. 149
Bibliographyp. 155
Indexp. 159
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