A Review of Recent Artificial Market Simulation Studies for Financial Market Regulations And/Or Rules

2016 ◽  
Author(s):  
Takanobu Mizuta
Keyword(s):  
Financial Market ◽  
Simulation Studies ◽  
Artificial Market ◽  
Market Simulation

scholarly journals Deep Reinforcement Learning in Agent Based Financial Market Simulation

2020 ◽  
Vol 13 (4) ◽  
pp. 71
Author(s):  
Iwao Maeda ◽  
David deGraw ◽  
Michiharu Kitano ◽  
Hiroyasu Matsushima ◽  
Hiroki Sakaji ◽  
...  
Keyword(s):  
Reinforcement Learning ◽  
Financial Market ◽  
Investment Strategy ◽  
Order Book ◽  
Learning Models ◽  
Artificial Market ◽  
Market Data ◽  
Agent Based ◽  
Market Simulation ◽  
The Impact

Prediction of financial market data with deep learning models has achieved some level of recent success. However, historical financial data suffer from an unknowable state space, limited observations, and the inability to model the impact of your own actions on the market can often be prohibitive when trying to find investment strategies using deep reinforcement learning. One way to overcome these limitations is to augment real market data with agent based artificial market simulation. Artificial market simulations designed to reproduce realistic market features may be used to create unobserved market states, to model the impact of your own investment actions on the market itself, and train models with as much data as necessary. In this study we propose a framework for training deep reinforcement learning models in agent based artificial price-order-book simulations that yield non-trivial policies under diverse conditions with market impact. Our simulations confirm that the proposed deep reinforcement learning model with unique task-specific reward function was able to learn a robust investment strategy with an attractive risk-return profile.

scholarly journals Design of Financial Market Regulations against Large Price Fluctuations Using by Artificial Market Simulations

2013 ◽  
Vol 03 (02) ◽  
pp. 15-22 ◽  
Author(s):  
Takanobu Mizuta ◽  
Kiyoshi Izumi ◽  
Isao Yagi ◽  
Shinobu Yoshimura
Keyword(s):  
Financial Market ◽  
Artificial Market ◽  
Price Fluctuations
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