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An Agent-based Approach to the Financial Stylized Facts

Research Project

Project/Area Number 19730227
Research Category

Grant-in-Aid for Young Scientists (B)

Allocation TypeSingle-year Grants
Research Field Public finance/Monetary economics
Research InstitutionTokyo University of Science

Principal Investigator

SHIMOKAWA Tetsuya  Tokyo University of Science, 経営学部, 准教授 (30366447)

Project Period (FY) 2007 – 2008
Project Status Completed (Fiscal Year 2008)
Budget Amount *help
¥1,680,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥180,000)
Fiscal Year 2008: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2007: ¥900,000 (Direct Cost: ¥900,000)
Keywordsファイナンス / 金融均衡理論 / 金融論 / エージェント
Research Abstract

近年の金融均衡理論研究の興味の中心は、Financial stylized facts(以下ではFSFと略する)をできるだけ多くを包含するような、より洗練されたモデルの構築にあるといえる。もしそのようなモデルが見つかれば、金融資産価格形成に大きな役割を果たす要因が特定できるからである。しかしながら、一般に、これまでの伝統的な理論モデルで採用されてきた強い仮定を緩め、「情報の不完全性」や「投資家の限定合理性」を均衡モデルの枠内で分析するのは非常に難しい作業となる。本研究ではこのような分析上の問題に対して、エージェントベース・シミュレーションを積極的に用いることで、解析的には分析することが困難な均衡収益率の統計的性質を明らかにし、既に知られているFSFとの整合性を検証したい。
(1)「ロス回避性」および「情報の拡散」効果といった意思決定上のバイアスが、市場価格形成にどのような影響を持ち得るかを分析した。その結果、両者ともに、多くのFSFと整合性を持つことがわかった。具体的には、収益率分布の大尖度、負の歪度、分散の強い自己相関、収益率の短期の自己相関など現実の市場でもよく知られている市場価格のゆがみが、これらの意思決定バイアスから生じうることを明らかにした。
(2)さらに、オプションなどより複雑な金融資産価格形成でのバイアスと意思決定モデルの関係を追求した。
(3)また、意思決定モデルそのものの精緻化も行った。近年、プロスペクト理論型効用モデルの精緻化が進んでいる。我々は、行動学的アプローチと脳神経科学アプローチの両面から、比較的大規模な経済学実験を行い、意思決定モデルをさらに精緻化した。さらに、この意思決定モデルを均衡理論の枠組みに組み込み価格形成との関係をシミュレーションにより明らかにした。

Report

(3 results)
  • 2008 Annual Research Report   Final Research Report ( PDF )
  • 2007 Annual Research Report
  • Research Products

    (19 results)

All 2009 2008 2007

All Journal Article (11 results) (of which Peer Reviewed: 11 results) Presentation (8 results)

  • [Journal Article] An Agent-based Approach to Option Pricing Anomalies2009

    • Author(s)
      Kyoko Suzuki, Tetsuya Shimokawa, and Tadanobu Misawa
    • Journal Title

      The IEEE Transactions on Evolutionary Computation 13

      Pages: 19-32

    • Related Report
      2008 Final Research Report
    • Peer Reviewed
  • [Journal Article] Augmented Reinforcement Learning and Investment Decision Making2009

    • Author(s)
      Tetsuya Shimokawa, Kyoko Suzuki, Tadanobu Misawa
    • Journal Title

      Neurocomputing accepted,forthcoming

    • Related Report
      2008 Final Research Report
    • Peer Reviewed
  • [Journal Article] Augmented Reinforcement Learning and Investment Decision Making2009

    • Author(s)
      Tetsuya Shimokawa, Kyoko Suzuki Tadanobu Misawa
    • Journal Title

      Neurocomputing (forthcoming)

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] An Agent-based Approach to Option Pricing Anomalies2009

    • Author(s)
      Kyoko Suzuki, Tetsuya Shimokawa, and Tadanobu Misawa
    • Journal Title

      The IEEE Transactions on Evolutionary Computation (forthcoming)

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Quintile analysis to the word of mouth model2008

    • Author(s)
      Tadanobu Misawa, Kyoko Suzuki, Yoshitaka Okano, Tetsuya Shimokawa
    • Journal Title

      International Journal of Computational Science 2

      Pages: 218-232

    • Related Report
      2008 Final Research Report 2007 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Neural Representation of Preference Relationships2008

    • Author(s)
      Tetsuya Shimokawa, Tadanobu Misawa, Kyoko Suzuki
    • Journal Title

      NeuroReport 19(16)

      Pages: 1557-1561

    • Related Report
      2008 Annual Research Report 2008 Final Research Report
    • Peer Reviewed
  • [Journal Article] Evolutional Pressure and Decision Making Biases under the Risk2008

    • Author(s)
      Kanta Kinoshita, Tetsuya Shimokawa, Tadanobu Misawa, Yoshitaka Okano, Kyoko Suzuki
    • Journal Title

      Proc. Of the 9th Asia-Pacific Conference on Industrial Engineering and Management Systems

      Pages: 11-11

    • Related Report
      2008 Final Research Report
    • Peer Reviewed
  • [Journal Article] Evolutional Pressure and Decision Making Biases under the Risk2008

    • Author(s)
      Kanta Kinoshita, Tetsuya Shimokawa, Tadanobu Misawa, Yoshitaka Okano, Kyoko Suzuki
    • Journal Title

      Proc. of the 9th Asia-Pacific Conference on Industrial Engineering and Management Systems

      Pages: 11-11

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] An Agent-Based Approach to Financial Stylized Facts2007

    • Author(s)
      Tetsuya Shimokawa, Kyoko Suzuki, Tadanobu Misawa
    • Journal Title

      Physica A 379

      Pages: 207-225

    • Related Report
      2008 Final Research Report 2007 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 情報伝達と資産収益率分布に関する統計的特性との関係2007

    • Author(s)
      参沢匡将,鈴木恭子,下川哲矢
    • Journal Title

      人工知能学会論文誌 22

      Pages: 256-262

    • NAID

      10022007492

    • Related Report
      2008 Final Research Report
    • Peer Reviewed
  • [Journal Article] 情報伝達と資産収益率分布に関する統計的特性との関係2007

    • Author(s)
      参沢匡将, 鈴木恭子, 下川哲矢
    • Journal Title

      人工知能学会論文誌 22

      Pages: 256-262

    • NAID

      10022007492

    • Related Report
      2007 Annual Research Report
    • Peer Reviewed
  • [Presentation] Emergence of Opinion Leaders and Its Impact to Stock Prices2008

    • Author(s)
      Tadanobu Misawa, Tetsuya Skimokawa, Kyoko Suzuki
    • Organizer
      The 9th Asia-Pacific Conference on Industrial Engineering and Management
    • Place of Presentation
      Bali
    • Year and Date
      2008-12-05
    • Related Report
      2008 Annual Research Report
  • [Presentation] A Study on Investment Behavior in Sequential Investment Task2008

    • Author(s)
      Tadanobu Misawa, Tetsuya Skimokawa, Yoshitaka Okano, Kyoko Suzuki
    • Organizer
      The 9th Asia-Pacific Conference on Industrial Engineering and Management Systems
    • Place of Presentation
      Bali
    • Year and Date
      2008-12-05
    • Related Report
      2008 Annual Research Report
  • [Presentation] 意思決定バイアスの進化論的アプローチ2008

    • Author(s)
      木下寛大下川哲矢参沢匡将岡野芳隆
    • Organizer
      情報処理学会第70回全国大会
    • Place of Presentation
      日本・筑波大学
    • Year and Date
      2008-03-14
    • Related Report
      2008 Final Research Report 2007 Annual Research Report
  • [Presentation] Emergence of Opinion Leaders and Its Impact to Stock Prices2007

    • Author(s)
      Tadanobu Misawa, Tetsuya Shimokawa, Kyoko Suzuki
    • Organizer
      the 8th Asia-Pacific Conference on Industrial Engineering and Management
    • Place of Presentation
      Taiwan
    • Year and Date
      2007-12-10
    • Related Report
      2008 Final Research Report 2007 Annual Research Report
  • [Presentation] Emergence of Opinion Leaders and Its Impact to Stock Prices2007

    • Author(s)
      Tadanobu Misawa, Tetsuya Shimokawa, Kyoko Suzuki
    • Organizer
      The 9th Asia-Pacific Conference on Industrial Engineering and Management
    • Place of Presentation
      Bali
    • Year and Date
      2007-12-05
    • Related Report
      2008 Final Research Report
  • [Presentation] Study on Investment Behavior in Sequential Investment Task2007

    • Author(s)
      Tadanobu Misawa, Tetsuya Shimokawa, Yoshitaka Okano, Kyoko Suzuki A
    • Organizer
      The 9th Asia-Pacific Conference on Industrial Engineering and Management Systems
    • Place of Presentation
      Bali
    • Year and Date
      2007-12-05
    • Related Report
      2008 Final Research Report
  • [Presentation] テキストデータの株価予測への応用2007

    • Author(s)
      鈴木恭子 下川哲矢 参沢匡将
    • Organizer
      平成19年 電気関係学会関西支部連合大会
    • Place of Presentation
      Taiwan
    • Year and Date
      2007-11-17
    • Related Report
      2007 Annual Research Report
  • [Presentation] テキストデータの株価予測への応用2007

    • Author(s)
      鈴木恭子下川哲矢参沢匡将
    • Organizer
      電気関係学会関西支部連合大会
    • Related Report
      2008 Final Research Report

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Published: 2007-04-01   Modified: 2016-04-21  

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