JSAI Technical Report, Type 2 SIG
Online ISSN : 2436-5556
Volume 2015, Issue FIN-014
The 14th SIG-FIN
Displaying 1-8 of 8 articles from this issue
  • Kotaro MIWA, Kazuhiro UEDA
    Article type: SIG paper
    2015 Volume 2015 Issue FIN-014 Pages 01-
    Published: January 21, 2015
    Released on J-STAGE: January 12, 2023
    RESEARCH REPORT / TECHNICAL REPORT FREE ACCESS

    The extension of trading hours to provide more trading opportunities and improve price efficiency has increasingly been discussed. However, currently, there is limited trading activity during the stock market's extended extended-hours trading session. Thus, we shou ld examine whether the extension of trading hours is still effective for creating more trading opportunity and price efficiency even if there are few market participants during the extended session. For this study, we build an agent agent-based market model base d on that of Brock and Hommes (1998) and analyze the effect of extending trading hours. We find that although extending trading hours could increase daily trading volume, it could distort price formation and trade opportunity if market participants are lim ited during the extended extended-hours session. Specifically, the extension could result in more concentrated trading in the opening session, wider divergence between market prices and the fundamental value of stocks, and higher return volatility (especially at th e open).

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  • Takanobu MIZUTA, Shintaro KOSUGI, Takuya KUSUMOTO, Wataru MATSUMOTO, K ...
    Article type: SIG paper
    2015 Volume 2015 Issue FIN-014 Pages 02-
    Published: January 21, 2015
    Released on J-STAGE: January 12, 2023
    RESEARCH REPORT / TECHNICAL REPORT FREE ACCESS
  • Noboru NISHIYAMA
    Article type: SIG paper
    2015 Volume 2015 Issue FIN-014 Pages 03-
    Published: January 21, 2015
    Released on J-STAGE: January 12, 2023
    RESEARCH REPORT / TECHNICAL REPORT FREE ACCESS

    The Japan regulators have decided to redraft their risk management guidelines for Investment Trusts in Japan. There are some methods of market risk measurement for Investment Trusts that is addressed under Basel Banking rules as well as is adopting some of the core principles of UCITS (Undertaking for Collective Investments in Transferable Securities). The purpose of this research is to discuss mainly to understand the meaning of recent rule changes and to review the development of VaR (Value at Risk) as a risk measurement tool in financial industry.

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  • Bungo MIYAZAKI, Kiyoshi IZUMI, Kenta YAMADA
    Article type: SIG paper
    2015 Volume 2015 Issue FIN-014 Pages 04-
    Published: January 21, 2015
    Released on J-STAGE: January 12, 2023
    RESEARCH REPORT / TECHNICAL REPORT FREE ACCESS

    We constructed a basic order order-book model which is based on the Maslov model and includes some empirical results such as distributions of order volume. Although this basic model successfully reproduces power law distributions of price changes, the market price greatly oscillates and the Hurst exponent, which indicates randomness of price fluctuation, of this model is much smaller than that of real data. In order to resolve this problem, we revised the basic order order-book model by adding the effect that the selection probability of order types (i.e. market order, limit orde r and cancel) depends on the bid bid-ask spread. Our revised model still reproduces power law distributions of price changes and the Hurst exponent is improved.

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  • Tomoshiro OCHIAI, Jose C. NACHER
    Article type: SIG paper
    2015 Volume 2015 Issue FIN-014 Pages 05-
    Published: January 21, 2015
    Released on J-STAGE: January 12, 2023
    RESEARCH REPORT / TECHNICAL REPORT FREE ACCESS

    Recent financial crises have shown the importance of determining the directionality of the in uence between financial assets in order to identify the origin of market unstabilities. Here, we analyze the correlation between Japan's Nikkei stock average index (Nikkei 225) and other financial markets by introducing a volatility-constrained correlation metrics. The asymmetric feature of the metrics reveals which asset is more in uential than the other. As a result, this method allows us to unveil the directionality of correlation effect, which could not be observed from the standard correlation analysis. Furthemore, we present a theoretical model that reproduces the results observed in empirical analysis.

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  • Shingo ICHIKI, Katsuhiro NISHINARI
    Article type: SIG paper
    2015 Volume 2015 Issue FIN-014 Pages 06-
    Published: January 21, 2015
    Released on J-STAGE: January 12, 2023
    RESEARCH REPORT / TECHNICAL REPORT FREE ACCESS

    In this study, we studied large-scale price movements in the exchange market caused by investors' collective behaviors, and focused on the phenomenon created by local investors af- fecting each other and producing large-scale price uctuations as a group, which we denote as swarm behaviors. We think one of the factors of large-scale price movement is connected with certain swarm behaviors of investors. First, we present a basic stochastic order-book model in the continuous double auction mechanism. Next, we incorporate a follower type of investors' swarm behavior in the basic stochastic order-book model. Our study shows a characteristic called \fat tail" is seen in the data obtained from our model that incorporates the investors' swarm behaviors. The result demonstrated that one of the reasons the trend following of price occurs is that orders temporarily swarm on the order book in accordance with past price trends.

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  • Takuya SHIKICHI, Kiyoshi IZUMI, Kenta YAMADA
    Article type: SIG paper
    2015 Volume 2015 Issue FIN-014 Pages 07-
    Published: January 21, 2015
    Released on J-STAGE: January 12, 2023
    RESEARCH REPORT / TECHNICAL REPORT FREE ACCESS

    In this study, we proposed a new method for extracting factors and related stocks which affect individual stocks. We combined t wo text text-mining methods which are CPR method for news articles and TF-IDF for summary of financial statements statements. We showed how stocks are connected through factors in each terms.

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  • Yoshiharu MAENO
    Article type: SIG paper
    2015 Volume 2015 Issue FIN-014 Pages 08-
    Published: January 21, 2015
    Released on J-STAGE: January 12, 2023
    RESEARCH REPORT / TECHNICAL REPORT FREE ACCESS

    I attended 5th World Congress on Social Simulation Simulation, held at Sao Paulo on November 4th to 7th and talk ed about our re cent results on the analysis of the impact of shadow banking on systemic risk. On this occasion, I present a report on the miscellaneous research topics at the conference, our research topic details, and the discussion on the issues of the current agent simulation technique techniques.

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