ミズヤマ ハジメ   MIZUYAMA Hajime
  水山 元
   所属   青山学院大学  理工学部 経営システム工学科
   職種   教授
言語種別 日本語
発行・発表の年月 2010
形態種別 学術雑誌
査読 査読有り
標題 可変区間型予測証券を用いた衆知集約型需要予測法のための間欠更新マーケットメーカ
執筆形態 単独
掲載誌名 精密工学会誌
巻・号・頁 354-360頁
概要 This study aims at developing an intra-firm prediction market system for obtaining not only a point estimate but also a continuous forecast distribution of the demand quantity of a certain product in a future time period based on the collective knowledge of the firm's sales people. The system uses the variable-interval prediction security (VIPS) as the prediction security to be traded in the market, and possesses a computerized market maker which evaluates each unit of VIPS with a Gaussian price density and updates the price density function, or the forecast distribution, intermittently every time a certain condition is met according to the transactions in the market. In earlier work, a market maker with a simple weighted average updating logic has been found to be vulnerable to arbitrage. Thus, this paper refines the market maker by introducing the inventory-based updating logic and book value constraint in order to fix the vulnerability. How the market maker functions and on what parameters its performance mainly depends are studied through agent-based simulation.