Proposal of Next Generation Financial System with Market Stability and Liquidity Using Social Simulation

2017 Fiscal Year Final Research Report

• Project/Area Number: 15K01188
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Social systems engineering/Safety system
• Research Institution: Kyoto University
• Principal Investigator: MATSUI HIROYUKI 京都大学, 経営管理大学院, 教授 (90272682)
• Co-Investigator(Kenkyū-buntansha): 小野 功 東京工業大学, 情報理工学院, 准教授 (00304551) ; 森 直樹 大阪府立大学, 工学(系)研究科(研究院), 准教授 (90295717)
• Co-Investigator(Renkei-kenkyūsha): KITA Hajime 京都大学, 学術メディアセンター, 教授 (20195241) ; TANIGUCHI Kazuhisa 近畿大学, 経済学部, 教授 (80268242) ; NAKAJIMA Yoshihiro 大阪市立大学, 大学院経済学研究科, 教授 (40336798)
• Project Period (FY): 2015-04-01 – 2018-03-31
• Keywords: 社会シミュレーション / 人工市場 / エージェントベースドシミュレーション / システミックリスク / U-Mart

Outline of Final Research Achievements

In this research, 1)we have reproduced the High Frequency Trading finance market using the artificial market system U-Mart System Ver.4. We also built an evaluation system for conducting market simulation. 2)We developed the U-Mart toolkit that is a general-purpose market system and can analyze and evaluate the next generation financial system. 3)It has made the toolkit possible to reproduce and analyze the systemic risk crash mechanism.
However, we could not produce sufficient results for simulation experiments on the new generation of financial systems that actively utilized the U - Mart Toolkit. Therefore, we plan to continue research further in the future.

Free Research Field

計画理論，ゲーミング/マルチエージェント・シミュレーション