Research on the GARCH generation mechanism with experiment, artificial market and simulation.
| Project/Area Number |
22330097
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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 |
Public finance/Monetary economics
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| Research Institution | Nagasaki University |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
HIRUMA Fumihiko 早稲田大学, 商学学術院, 教授 (00063793)
TORIUMI Fujio 東京大学, 工学研究科, 准教授 (30377775)
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| Project Period (FY) |
2010-04-01 – 2014-03-31
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| Project Status |
Completed (Fiscal Year 2013)
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| Budget Amount *help |
¥16,770,000 (Direct Cost: ¥12,900,000、Indirect Cost: ¥3,870,000)
Fiscal Year 2013: ¥3,770,000 (Direct Cost: ¥2,900,000、Indirect Cost: ¥870,000)
Fiscal Year 2012: ¥3,770,000 (Direct Cost: ¥2,900,000、Indirect Cost: ¥870,000)
Fiscal Year 2011: ¥4,030,000 (Direct Cost: ¥3,100,000、Indirect Cost: ¥930,000)
Fiscal Year 2010: ¥5,200,000 (Direct Cost: ¥4,000,000、Indirect Cost: ¥1,200,000)
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| Keywords | GARCH効果 / 実験 / 人工市場 / 行動ファイナンス / GARCH / 外国為替市場 / 市場の効率性 / 人口市場 / 実験市場 / アノマリー / 市場構造 / マイクロストラクチャー / 高頻度データ / ACDモデル |
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| Research Abstract |
As we know, GARCH effect is typical phenomenon in financial markets. But we do not confirm the factors that induce GACRH effect. Thus, we started to search the factors for generating GARCH effect with focusing on dealers' behavioral feature and information structure in the market.
On the basis of empirical results, we construct artificial market with the agents who have the information on the asset price that they trade and high information analyze ability. When we control the number of highly informed and high analytical ability agents in the market, we find that GARCH effect is becoming strong as the number of thees agents increases. From this result, we confirm that market structure that means the proportion of highly informed and high analytical agents is a source of GARCH effect.
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Report
(5 results)
Research Products
(53 results)
