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JACIII Vol.15 No.2 pp. 204-211
doi: 10.20965/jaciii.2011.p0204
(2011)

Paper:

Simulation of Futures and Spot Markets by Using an Agent-Based Multi-Market Model

Tomoko Ohi, Yasuhiro Hashimoto, Yu Chen, and Hirotada Ohashi

Graduate School of Engineering, The University of Tokyo, 7-3-1 Hongo, Bunkyo-ku, Tokyo 113-8656, Japan

Received:
August 1, 2010
Accepted:
December 31, 2010
Published:
March 20, 2011
Keywords:
multi-agent model, multi-market model, futures market, fat-tail
Abstract

The agent-based multi-market model we propose simulates futures and spot markets. On the basis of trading strategies in real markets, four kinds of agents – arbitragers, hedgers, speculators, and noise traders – are included in our model. Interactions of the two markets are generated through various agent trading behavior. We also statistically analyzed futures and spot prices of the Nikkei 225 index, where we found a large positive correlation between the two prices and a fat-tail distribution of the basis. Simulations results show that, instead of the conventional single-market model, only the two-market model reproduces both statistical properties of futures prices.

Cite this article as:
T. Ohi, Y. Hashimoto, Y. Chen, and H. Ohashi, “Simulation of Futures and Spot Markets by Using an Agent-Based Multi-Market Model,” J. Adv. Comput. Intell. Intell. Inform., Vol.15, No.2, pp. 204-211, 2011.
Data files:
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Last updated on Dec. 01, 2020