Concept and Practice of Artificial Market Data Mining Platform

Masanori Hirano, Hiroki Sakaji, K. Izumi
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引用次数: 1

Abstract

We proposed a concept called the artificial market data mining platform and presented a practical example for it. This concept is designed to evaluate data mining methods through artificial market simulation. We believe that the proposed platform can help us conduct a fair evaluation of data mining methods for the financial market without actual data dependence, and investigate the impact of financial market factors on predictions of future market movements. In this study, as a practical example, we built a tick-time level artificial market simulation and data mining models to predict short-term price changes and investigated the effect of four financial market factors on the performance of data mining models. Through experimental analysis, we demonstrated the validity and benefits of the proposed concept and practice model. We also discussed the potential and future applications of our proposal.
人工市场数据挖掘平台的概念与实践
提出了人工市场数据挖掘平台的概念,并给出了一个应用实例。该概念旨在通过人工市场模拟来评估数据挖掘方法。我们认为,提出的平台可以帮助我们在不依赖实际数据的情况下对金融市场的数据挖掘方法进行公平评估,并研究金融市场因素对未来市场走势预测的影响。在本研究中,我们以实际案例为例,构建了一个滴答时间水平的人工市场模拟和数据挖掘模型来预测短期价格变化,并考察了四种金融市场因素对数据挖掘模型性能的影响。通过实验分析,我们证明了所提出的概念和实践模型的有效性和效益。我们还讨论了我们的建议的潜在和未来的应用。
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