2019 Fiscal Year Final Research Report
Theoretical Study on the Development of Advanced Financial Technologies
| Project/Area Number |
17K03797
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Money/ Finance
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| Research Institution | Hitotsubashi University |
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Principal Investigator |
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| Project Period (FY) |
2017-04-01 – 2020-03-31
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| Keywords | 金融市場の情報構造 / マーケットマイクロストラクチャー |
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| Outline of Final Research Achievements |
Based on the recent development of information and other technologies in financial markets, I theoretically study the effect of advanced technologies (so called FinTech). Concretely, I focused on how we can explain the positive effect reported by empirical studies with mathematical models. To this end, I tried to construct a market microstructure model, which explicitly describes the trading system and the characteristics of market participants. During the research period, I showed that the effect may vary, depending on the order execution procedure employed in the market system.
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| Free Research Field |
金融ファイナンス
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| Academic Significance and Societal Importance of the Research Achievements |
高度情報技術を用いた金融取引に関するこれまでの研究成果を概観すると実証研究と理論研究では，得られている経済学的評価がやや異なっていた．即ち，実証研究では同取引について比較的肯定的に評価されているのに対して，理論研究では否定的な結果を導く論文が多く見られた．本研究を通じて，約定制度などの市場システムなどの観点が分析を行う際に必要であるとの知見を得ることができた．
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