人工市場シミュレーションによるマーケットメイカーが市場間競争に与える影響の分析

抄録

We built an artificial market model and investigated for market maker's impact to the competition among markets. If there is a market maker in a minor market, we found that share of the major market's volume transfered to the minor market. Although market maker's spread was wider than the average of major market's bid-offer-spread, share of the major market's volume transfered to the minor market and the speed of transfer from the major market to the minor market depended on the market maker's spread. We also analyzed the mechanism and revealed it.