2015 Fiscal Year Final Research Report
Endogenous price formation and instability of stock markets
| Project/Area Number |
24510203
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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 |
Social systems engineering/Safety system
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| Research Institution | Seijo University |
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Principal Investigator |
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| Project Period (FY) |
2012-04-01 – 2016-03-31
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| Keywords | 株式市場の暴落 / 市場参加者の集団行動 / financial crisis / 特別気配 |
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| Outline of Final Research Achievements |
(1) We study precursors to the global market crash that occurred on all main stock exchanges throughout the world in October 2008 about three weeks after the Lehman shock. We examine the returns of the issues listed on the London Stock Exchange and the Tokyo Stock Exchange. Before the market crash, a sharp rise in a measure of the collective behavior was observed. It was shown to be associated with news including the words ”financial crisis”. Such news increased after the Lehman shock preceding the market crash. (2) We investigated the resolution of extreme supply-and-demand order imbalances by increased balancing counter orders, so-called special quotes on the Tokyo Stock Exchange. Counter orders increase positively depending on the quantity of revealed counter orders: the accumulated orders in the book until then. Results given here show that the market participants make decision whether to order using information about orders of other participants.
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| Free Research Field |
経済物理学
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