Development of validation system of market regulations using an artificial market

2014 Fiscal Year Final Research Report

• Project/Area Number: 24510209
• 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): 2012-04-01 – 2015-03-31
• Keywords: マルチエージェント / 社会シミュレーション / 人工市場 / ファイナンス / 市場規制

Outline of Final Research Achievements

We developed a validation system of financial market regulations based on an artificial market simulation system. We found the following fact using our proposal validation system. A price variation limit was the most effective for the stabilization of the market in major regulations such as a short-selling regulation, a leverage regulation, a price variation limit, and up-tick rule, when a market price plunged.
Next, we developed a validation system that was able to check compound market regulations, for example, the regulation combined a short-selling regulation with a price variation limit. We investigated whether some compound market regulations contributed to the market stablity or not. As a result, we found any compound regulations did not contribute to the market stablity compared to the a price variation limit.

Free Research Field

知能情報学