2022 Fiscal Year Final Research Report
A Study on the Generation Mechanism of Financial Probability Jumps based on a Structural Approach using Epistemic Logic
Project/Area Number |
18K01551
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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 |
Review Section |
Basic Section 07030:Economic statistics-related
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Research Institution | Tokyo Metropolitan University |
Principal Investigator |
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Co-Investigator(Kenkyū-buntansha) |
中島 克志 立命館アジア太平洋大学, 国際経営学部, 准教授 (90721572)
琉 佳勳 立命館大学, 理工学部, 助手 (90827560)
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Project Period (FY) |
2018-04-01 – 2023-03-31
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Keywords | 圏論的確率論 / 主観的フィルトレーション / 市場均衡価格 / 機械学習 |
Outline of Final Research Achievements |
In this study, we attempted to analyze the mechanism of probability jumps observed in risk events such as financial crises using a structural approach based on epistemic logic, a branch of mathematical logic. Specifically, we developed a completely new framework for developing financial models by introducing the concept of subjective filtration (SF), in which not only the probability measure changes from point to point but also the probability space changes from point to point, using category theory, which is used as a model of epistemic logic. In addition to the theoretical analysis of SF, we also perform simulations using an artificial market model with multiple participants who have different SF, and show that a price-determination mechanism exists even when there are participants who are forgetful, for example.
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Free Research Field |
数理ファイナンス・確率論
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Academic Significance and Societal Importance of the Research Achievements |
本研究は,従来実務的には使われることが少なかった構造型アプローチを認識論理学あるいは信念論理学というまったく数理ファイナンスでは使われたことのない道具の助けを借りて定式化し,実用化に向けて高頻度データ等のいわゆるビッグデータを使い実証実験を目指すという大変独創的且つ野心的なものであった. 本研究の結果は,個々の参加者の主観的歴史認識を考慮して市場解析を行えることから,取引所の板情報のミクロ分析や金融機関のリスク管理のツールを始めとして広い応用が考えられる.昨今の難しい金融情勢に日々直面している金融機関,金融監督庁を含む多くの潜在的ユーザを考えると,本研究は時宜を得た意義深いものと言えるだろう.
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