| Project/Area Number |
21760059
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Single-year Grants |
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| Research Field |
Engineering fundamentals
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| Research Institution | Kyoto University |
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Principal Investigator |
SATO Akihiro Kyoto University, 情報学研究科, 助教 (50335204)
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| Project Period (FY) |
2009 – 2010
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| Project Status |
Completed (Fiscal Year 2010)
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| Budget Amount *help |
¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
Fiscal Year 2010: ¥2,210,000 (Direct Cost: ¥1,700,000、Indirect Cost: ¥510,000)
Fiscal Year 2009: ¥2,210,000 (Direct Cost: ¥1,700,000、Indirect Cost: ¥510,000)
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| Keywords | 数理工学(数理的解析・計画・設計・最適化) / データサイエンス / 社会経済システム / 外国為替市場 / 経済・社会システム / 並列計算 / 情報伝達 / エントロピー / 世界同時金融危機 / エージェント集団行動 / 網羅的分析 / 相関関数 / ゆらぎのスケーリング / 同期 |
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| Research Abstract |
In this study, I aimed to develop well-balanced methodologies among collection of comprehensive data, a computational system, mathematical technique, and a field study. Specifically, I attempted to develop methods to capture states of communication among agents from a holistic point of view based on a large amount of data and agent-based modeling regarding causality of agent behavior.
I collected comprehensive high-resolution data of the foreign exchange market (May 2007 to January 2011; 45 months) and constructed the parallel computing system in order to store and calculate them. Further, I developed methods to capture structure of agent communication through occurrence of quotations and transactions and implemented computer software based on the methodologies. Throughout the period of this investigation, we suffered from several extreme events relating to economic crises across the globe such as the latest global financial crisis (July 2008 to February 2009), and the Euro shock (April to May 2010). It was confirmed that the proposed methods can capture these crises and detect influence relating to a large number of market participants. It is concluded that synchronous activities relating to a large number of population may drive the change of macroeconomic structure.
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