Development of the shock propagation analysis tool based on an agent-based simulation

2017 Fiscal Year Final Research Report

• Project/Area Number: 15K01211
• 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: 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): 2015-04-01 – 2018-03-31
• Keywords: 社会シミュレーション / 人工市場 / 分散投資規制 / エージェントシミュレーション / 金融市場

Outline of Final Research Achievements

In this study, we developed a financial shock propagation analysis system based on an artificial market,which is a kind of agent-based simulation, and discussed the mechanism of financial shock propagation in the market where investors who follow the rule for investment diversification participate using it. As a result, the following findings was obtained. When the intrinsic value of the shares calculated based on the company's financial situation, performance situation etc., which is the fundamental value, is constant, financial shock propagation does not occur. However, when the fundamental value of one of the assets that the investors own falls sharply, it was found that despite the fact that the fundamental value of other assets is constant, the market price of all the assets that the investors hold plummeted. On the other hand, we also found that the prices of assets that the investors did not hold might rise.

Free Research Field

社会シミュレーション