人工市場を用いた集団行動バイアスが市場へ与える影響の分析
2016 年 2016 巻 FIN-016 号 p. 24-
詳細
2016 年 2016 巻 FIN-016 号 p. 24-
Humans have a strong tendency to belong to a group, which is called group behavior. It is said that group behavior may affect the financial market and make it inefficient. In this article, we study the relationship between group behavior and market impact by building an muti-agent based artificial market model. The results show that the maket become more inefficient with group behavior growing when exceed some threshold.
