2013 Fiscal Year Final Research Report
The analysis of the systemic risk in the financial markets with large-scale artificial market simulation
| Project/Area Number |
23510167
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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 | Kyoto University |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
ONO Isao 東京工業大学, 大学院総合理工学研究科, 准教授 (00304551)
MORI Naoki 大阪府立大学, 大学院工学研究科, 准教授 (90295717)
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| Co-Investigator(Renkei-kenkyūsha) |
KITA Hajime 京都大学, 学術メディアセンター, 教授 (20195241)
NAKAJIMA Yoshihiro 大阪市立大学, 大学院経済学研究科, 教授 (40336798)
TANIGUCHI Kazuhisa 近畿大学, 経済学部, 教授 (80268242)
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| Project Period (FY) |
2011 – 2013
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| Keywords | U-Mart / 仮想市場 / マルチエージェント / シミュレーション / 金融市場 / システミックリスク |
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| Research Abstract |
In this research, we aimed to clarify the characteristics of the systemic risk in the financial markets through the use of an artificial market system. Their results are as follows.(1)We have developed the U-Mart system Ver.4 that implements the financial system and market system of reality. (2)We have analyzed the structure of systemic risk in the financial markets, then have developed an experimental platform of artificial market. (3)By performing a simulation analysis using artificial market, and were characterized as theoretically optimal order
However, it was not possible to give a satisfactory results for the large-scale simulation experiments that had been planned. The large-scale simulation experiments are an issue in the future.
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