人工知能学会全国大会論文集
32nd Annual Conference, 2018
セッションID: 2P2-05
会議情報

Effects Analysis of CAR Regulations on Financial Markets using Artificial Market Simulations
*Masanori HIRANOHiroto YONENOHKiyoshi IZUMI
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Basel regulatory framework, one of CAR (capital adequacy ratio) regulations, is said to make markets destabilized in a previous study. But the previous study included some inappropriate assumptions. So, this study assessed this destabilizing effects with a new model. In my model, FCN agents and 2 kinds of portfolio agents, CAR regulated ones and not regulated ones, were included. Using this model, some simulations were run. As results, the simulations revealed some facts: 1. Asset management using portfolio stabilizes markets and the stabilizing effect are significant if there are a lot of markets included in the portfolio; 2. CAR regulation destabilizes markets and vanish the stabilizing effects of portfolio. In addition, the results of my simulations suggest that CAR regulation does not only raise the chance of price crashes but also depress whole price.

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© 2018 The Japanese Society for Artificial Intelligence
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