Development of validation system of market regulations using an artificial market
Project/Area Number |
24510209
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Research Category |
Grant-in-Aid for Scientific Research (C)
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Allocation Type | Multi-year Fund |
Section | 一般 |
Research Field |
Social systems engineering/Safety system
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Research Institution | Kanagawa Institute of Technology |
Principal Investigator |
YAGI Isao 神奈川工科大学, 情報学部, 准教授 (10457145)
|
Project Period (FY) |
2012-04-01 – 2015-03-31
|
Project Status |
Completed (Fiscal Year 2014)
|
Budget Amount *help |
¥5,200,000 (Direct Cost: ¥4,000,000、Indirect Cost: ¥1,200,000)
Fiscal Year 2014: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
Fiscal Year 2013: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2012: ¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000)
|
Keywords | マルチエージェント / 社会シミュレーション / 人工市場 / ファイナンス / 市場規制 |
Outline of Final Research Achievements |
We developed a validation system of financial market regulations based on an artificial market simulation system. We found the following fact using our proposal validation system. A price variation limit was the most effective for the stabilization of the market in major regulations such as a short-selling regulation, a leverage regulation, a price variation limit, and up-tick rule, when a market price plunged. Next, we developed a validation system that was able to check compound market regulations, for example, the regulation combined a short-selling regulation with a price variation limit. We investigated whether some compound market regulations contributed to the market stablity or not. As a result, we found any compound regulations did not contribute to the market stablity compared to the a price variation limit.
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Report
(4 results)
Research Products
(19 results)