2013 Fiscal Year Final Research Report
Analysis of heterogeneous agents in financial markets
| Project/Area Number |
23530362
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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 |
Public finance/Monetary economics
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| Research Institution | Yokohama National University |
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Principal Investigator |
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| Project Period (FY) |
2011 – 2013
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| Keywords | マーケット・マイクロストラクチャー |
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| Research Abstract |
I totally published 5 refereed papers during the research period of the 3 years. Major findings are as follows. 1) I showed in my theoretical paper that heterogeneous agents can have a permanent impact on financial markets. Especially, the observation that less knowledgelable agents can survive in financial market is new in the literature. 2) Henerogeneiety in economic agents can have a considerable impact on market liquidity such as price impact and trading volume.
In all, I successfully completed this research project with satisfactory academic contributions.
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