Research and Education of Finance Using Virtual Financial Market

• Project/Area Number: 11695020
• Research Category: Grant-in-Aid for Scientific Research (B)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Business administration
• Research Institution: AOYAMA GAKUIN INIVERSITY
• Principal Investigator: ITOH Fumio Aoyama Gakuin University, Graduate School of International Management, Professor, 国際マネジメント研究科, 教授 (20082729)
• Co-Investigator(Kenkyū-buntansha): NAKASATO Munenori Aoyama Gakuin University, Graduate School of International Management, Associate Professor, 国際マネジメント研究科, 助教授 (90207754) ; HORIUCHI Masahiro Aoyama Gakuin University, Graduate School of International Management, Professor, 国際マネジメント研究科, 教授 (80114891) ; TAKAMORI Hiroshi Aoyama Gakuin University, Graduate School of International Management, Professor, 国際マネジメント研究科, 教授 (30082671) ; TAKEDA Sumihiro Aoyama Gakuin University, Graduate School of International Management, Associate Professor, 国際マネジメント研究科, 助教授 (30296389) ; SHIMIZU Yasushi Aoyama Gakuin University, Graduate School of International Management, Associate Professor, 国際マネジメント研究科, 助教授 (60286226)
• Project Period (FY): 1999 – 2001
• Project Status: Completed (Fiscal Year 2001)
• Budget Amount: ¥6,700,000 (Direct Cost: ¥6,700,000); Fiscal Year 2001: ¥2,100,000 (Direct Cost: ¥2,100,000); Fiscal Year 2000: ¥2,100,000 (Direct Cost: ¥2,100,000); Fiscal Year 1999: ¥2,500,000 (Direct Cost: ¥2,500,000)
• Keywords: Financial Analysis and Security Trading (FAST) program / Virtual Financial Market / Experimental approaches in finance / Cyber-trading / Derivative transactions / Computational finance / Financial Technology / Financial Engineering

Research Abstract

This research project is intended to promote and improve the Financial Analysis and Security Trading (FAST) program, which was developed in collaboration with Carnegie Mellon University. It also intends to develop a financial market simulation program.
The research activities undertaken in 1999 include 1) developing a virtual financial market, 2) performing operational experiments on the virtual financial market, 3) installing information-related facilities on each campus, 4) researching experimental approaches in finance, and 5) investigating derivative transactions in financial markets of different countries. The Graduate School of International Management installed a 100M Ethernet and a network independent of the university's network. The latency and autonomy of the network ensured by this installation provided a more stable network environment for the project with Carnegie Mellon University. The collaboration with Carnegie Mellon helped verify some basic theories and hypotheses on f inance. More specifically, through simulating financial asset transactions in a virtual financial market, we affirmed that theories and actual transaction behavior are consistent in those cases where transactions are to maximize asset values, as well as those that deal with government bonds and discount bonds in a complete market. The participants in this simulation included actual equity traders from a number of different financial institutions.
In 2000, the Ethernet network made it possible to create a Virtual Pacific Financial Market between Aoyama Gakuin University and Carnegie Mellon University. Through this collaboration, the courseware for FAST was developed. The FAST courseware was then used in the Virtual Asian Financial Market constructed between Aoyama Gakuin University and Fudan University in Shanghai. Furthermore, in order to expand the Virtual Asian Financial Market, we contracted the Applied Finance Center of Macquarie University, Sidney, Australia, in hope that it would improve FAST and conduct research on financial markets.
In 2001 the network for cyber-trading was moved to the Internet, and the FAST courseware was made available online and downloadable from the GSIM's website. Also, using the Virtual Pacific Financial Market constructed between Aoyama Gakuin and Carnegie Mellon University, we examined the effectiveness of the courseware. We then applied these results to the construction of the Virtual Asia Financial Markets between Aoyama Gakuin University and Fudan University. We also transferred the cyber-trading system.
As described above, from 1999 to 2001, we engaged in research projects concerning FAST in collaboration with Carnegie Mellon University and contributed to its improvement. The results we obtained contributed to the development of research and educational programs using FAST at Fudan University's School of Management. All these activities laid the foundation for the promotion of international research and education of finance in Aoyama Gakuin University and its partner universities overseas.