Artificial market experiments with the u-mart system

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.

Part I Practice
1 How to Use the U-Mart Market Simulator	p. 3
1.1 The U-Mart System	p. 3
1.2 Let Us Start	p. 4
1.2.1 CD-ROM Setup	p. 4
1.2.2 Run and Settings	p. 4
1.2.3 Date and Session	p. 5
1.2.4 Placing Orders	p. 7
1.2.5 Various Tabs	p. 8
1.2.6 Final Settlement	p. 8
1.2.7 Quitting	p. 8
1.3 Let Us Trade	p. 9
1.3.1 Settings	p. 9
1.3.2 Futures Trading	p. 10
1.3.3 Placing Orders	p. 10
1.3.4 Canceling Orders	p. 10
1.4 Orders and Contract	p. 11
1.4.1 Market and Limit Order	p. 11
1.4.2 Guarantee System	p. 12
1.4.3 Bankruptcy	p. 14
1.5 Closed Trade	p. 15
1.5.1 Order Book	p. 16
1.5.2 Partial Contracts	p. 17
1.6 Various Information	p. 19
1.6.1 Other Textboxes	p. 19
1.6.2 Chart	p. 19
1.6.3 Order Book	p. 20
1.6.4 Contracts Information	p. 21
1.6.5 Profits	p. 21
1.6.6 Positions	p. 21
1.6.7 Stdout	p. 22
1.6.8 Pull-Down Menu	p. 22
2 How to Use the U-Mart System Network Edition	p. 23
2.1 Introduction	p. 23
2.2 Preparation	p. 23
2.2.1 Network Environment	p. 23
2.2.2 Market Server Operation Environment	p. 24
2.2.3 Client PC Requirements	p. 25
2.3 Market Server Installation	p. 25
2.4 Starting Market Server	p. 28
2.4.1 How to Start	p. 28
2.4.2 Experimental Environment Settings	p. 29
2.5 Trading Experiments	p. 31
2.5.1 How to Connect to the Exchange Using a Trading Terminal	p. 31
2.5.2 Market Server Functions	p. 34
2.5.3 Transaction Experiment Termination	p. 35
2.6 Configuration Files	p. 37
2.6.1 Time Series Configurations (j30.csv)	p. 38
2.6.2 Configuration of Experimental Conditions (TimeSeriesDefinitions.csv)	p. 39
2.6.3 Agent Settings (MembersSA.csv, MembersNet.csv, Institution.csv)	p. 40
2.7 Analyzing Log Files	p. 41
2.7.1 Log Analyzer	p. 41
2.7.2 How to Use Log Analyzer	p. 42
2.7.3 Display Contents	p. 43
3 Futures Market and U-Mart Experiment	p. 47
3.1 Introduction	p. 47
3.2 Futures Market	p. 47
3.2.1 Futures Market Mechanism	p. 47
3.2.2 Futures Market Functions	p. 49
3.2.3 Classification of Futures Market Participants	p. 52
3.2.4 Settlement System in Futures Market	p. 52
3.2.5 How Orders and Contracts are Taken Place	p. 57
3.3 Stock Index Futures Trading in Japan	p. 61
3.3.1 Nikkei Index (Nikkei 225)	p. 62
3.3.2 Nikkei Stock Index 300 (Nikkei 300)	p. 63
3.3.3 Tokyo Stock Exchange Stock Price Index (TOPIX)	p. 64
3.3.4 J30	p. 64
3.4 Investing Basics	p. 65
3.4.1 Fundamental Analysis	p. 66
3.4.2 Technical Analysis	p. 68
3.5 Artificial Market Study and U-Mart	p. 74
3.5.1 What is an Artificial Market?	p. 74
3.5.2 Bid Type	p. 76
3.5.3 Function-Send Type	p. 77
3.5.4 Particle Type	p. 80
Part II Application
4 A Case of U-Mart Experiment by Human Agents	p. 87
4.1 Introduction	p. 87
4.2 Objectives of Experiment	p. 88
4.3 Preparation: Learning of Futures Market and Pilot Experiment	p. 88
4.4 Experimental Environment	p. 89
4.4.1 Conditions for Trading	p. 89
4.4.2 Availability of Order Book	p. 90
4.4.3 Spot Price Data	p. 90
4.5 Results	p. 91
4.5.1 Movement in Forward Price	p. 91
4.5.2 Availability of Order Book and Execution Rate	p. 93
4.5.3 Changes in Order Volume and the Number of Orders	p. 96
4.5.4 Changes in Position	p. 97
4.5.5 Changes in Realized Profit and Loss	p. 98
4.6 Conclusion	p. 98
5 Statistical Analysis of U-Mart Experiments by Humans	p. 103
5.1 Introduction	p. 103
5.2 What (Conceptual) Preparation is Required?	p. 104
5.2.1 Observation and Experiment	p. 104
5.2.2 Description Statistics and Experimental Plan	p. 105
5.3 Experimental Plan and Reminders Assuming Statistical Processing	p. 105
5.4 Data Extraction with Excel	p. 107
5.5 Simple Statistical Analysis with Excel	p. 107
5.6 Somewhat Full-Fledged Statistical Analysis with SPSS	p. 108
5.7 Various Types of Statistical Methods Applicable to Analyze the U-Mart Experiment	p. 109
5.7.1 ANOVA (Analysis of Variance)	p. 109
5.7.2 Regression Analysis	p. 109
5.7.3 Factor Analysis	p. 110
5.7.4 Quantification Theory	p. 110
5.8 Details of Respective Statistical Analysis Methods	p. 110
5.8.1 Description of Analysis of Variance	p. 110
5.8.2 Description of Multi-Regression Analysis	p. 111
5.8.3 Description of Factor Analysis	p. 112
5.8.4 Description of Quantitative Theory	p. 112
6 Possibility and Meaning of the U-Mart	p. 113
6.1 Introduction	p. 113
6.2 A Short History of Economics	p. 113
6.2.1 Three Classifications of Economics	p. 114
6.2.2 Deadlock of Neoclassical Economics	p. 115
6.2.3 Necessity of a Scientific Revolution in Economics	p. 116
6.3 New Paradigm and New Study Approach	p. 116
6.3.1 Financial Market	p. 117
6.3.2 Day Traders as an Example	p. 118
6.3.3 Possibility of Multi-agent Model	p. 119
6.4 Behavioral Evolution and Micro-Macro Loop	p. 120
6.4.1 Behavior Formulation	p. 121
6.4.2 Micro-Macro Loop	p. 121
6.4.3 Beyond Methodological Individualism	p. 124
6.5 Review and Perspective of U-Mart Project	p. 125
6.5.1 U-Mart as Artificial Market	p. 125
6.5.2 Some Methodological Issues	p. 126
6.5.3 Success Factors of U-Mart	p. 128
6.6 Future Issues and Perspective	p. 130
6.6.1 Thin Market	p. 130
6.6.2 Support for Institutional Design	p. 132
A Attached CD-ROM Composition	p. 133
B Log Format	p. 135
B.1 Log Format of Market Simulator and Market Server	p. 135
B.2 Log Format of Trading Terminal	p. 136
C Machine Agents Embedded in the U-Mart System	p. 137
D Publication List	p. 149
Bibliography	p. 155
Index	p. 159

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