Institutional Design and Evaluation of Liquidity Supply in Financial Market Using Participatory Artificial Markets
| Project/Area Number |
19300077
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Sensitivity informatics/Soft computing
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| Research Institution | Kyoto University |
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Principal Investigator |
KITA Hajime Kyoto University, 学術情報メディアセンター, 教授 (20195241)
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| Co-Investigator(Kenkyū-buntansha) |
ONO Isao 東京工業大学, 大学院・総合理工学研究科, 准教授 (00304551)
MORI Naoki 大阪府立大学, 大学院・工学研究科, 講師 (90295717)
IKEDA Kokolo 北陸先端科学技術大学院大学, 情報科学研究科, 准教授 (80362416)
MORI Mikihiko 京都大学, 学術情報メディアセンター, 助教 (70362423)
UEHARA Tetsutaro 京都大学, 学術情報メディアセンター, 准教授 (20273485)
TANIGUCHI Kazuhisa 近畿大学, 経済学部, 教授 (80268242)
MATSUI Hiroyuki 京都大学, 経営管理大学院, 准教授 (90272682)
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| Co-Investigator(Renkei-kenkyūsha) |
NAKAJIMA Yoshihiro 大阪市立大学, 大学院・経済学研究科, 准教授 (40336798)
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| Project Period (FY) |
2007 – 2009
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| Project Status |
Completed (Fiscal Year 2009)
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| Budget Amount *help |
¥16,900,000 (Direct Cost: ¥13,000,000、Indirect Cost: ¥3,900,000)
Fiscal Year 2009: ¥5,070,000 (Direct Cost: ¥3,900,000、Indirect Cost: ¥1,170,000)
Fiscal Year 2008: ¥5,460,000 (Direct Cost: ¥4,200,000、Indirect Cost: ¥1,260,000)
Fiscal Year 2007: ¥6,370,000 (Direct Cost: ¥4,900,000、Indirect Cost: ¥1,470,000)
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| Keywords | 人工市場 / 制度分析 / シミュレーション / ゲーミング / エージェント / 市場の流動性 / 板寄せ / ザラバ / ザラ場 |
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| Research Abstract |
In security market, it is desirable to trade anytime. Such characteristics are called liquidity of the market. In this study, we discussed the problem of liquidity supply as institutional design problem, and an artificial market approached to the problem is taken. An artificial market system is developed to treat various trading mechanisms such as continuous auction. By gaming using the system, characteristics of the continuous auction market are studied. Further, by agent-based simulation, comparative study of market-maker system and continuous auction is carried out. The results show that the former system is advantageous in liquidity supply in thin markets.
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Report
(4 results)
Research Products
(41 results)
