An analysis on the features of foreign exchange market change with group behavior bias : Experiment, empirical study and artificial market method

2017 Fiscal Year Final Research Report

• Project/Area Number: 26285070
• Research Category: Grant-in-Aid for Scientific Research (B)
• Allocation Type: Partial Multi-year Fund
• Section: 一般
• Research Field: Money/ Finance
• Research Institution: Nagasaki University
• Principal Investigator: SUSAI Masayuki 長崎大学, 経済学部, 教授 (40206454)
• Co-Investigator(Kenkyū-buntansha): 森保 洋 長崎大学, 経済学部, 教授 (10304924) ; 鳥海 不二夫 東京大学, 大学院工学系研究科(工学部), 准教授 (30377775) ; 吉田 裕司 滋賀大学, 経済学部, 教授 (40309737)
• Project Period (FY): 2014-04-01 – 2018-03-31
• Keywords: 集団行動バイアス / 行動ファイナンス / 外国為替市場 / 人工市場

Outline of Final Research Achievements

In our artificial market, we have created an agent that assumes the following three behavioral biases. ① Most trading policy (follow the trader with the largest trading frequency), ② Best trading policy (follow the best trader), ③ Hub trading policy (follow the trader with the most information). The influence of the group behavior bias was analyzed by comparing the fluctuation characteristic of the price of the transaction when there is a group behavior bias which follows each of these and it is not. The group behavior bias revealed a negative impact on the stability of the market, that is, increasing market instability. Moreover, it became clear that the group behavior bias by the most trade agent of the above-mentioned ① is the most likely to occur, and that ②, the best trading agent, increases the instability of the market.

Free Research Field

国際金融