文章基本信息

标题：情報入手時間の差異がある市場の振る舞いに値幅制限が与える影響：人工市場によるアプローチ
本地全文：下载
作者：謝凡 ; 秋山英三
期刊名称：人工知能学会論文誌
印刷版ISSN：1346-0714
电子版ISSN：1346-8030
出版年度：2021
卷号：36
期号：5
页码：1-8
DOI：10.1527/tjsai.36-5_AG21-A
语种：Japanese
出版社：The Japanese Society for Artificial Intelligence
摘要：To enhance the stability of the financial markets, price limits have been implemented in numerous financial markets. The effects to markets’ stability and traders’ profitability of price limits have been discussed by previous research. But it has not been discussed when there is difference between traders on speed of information acquisition. The asymmetry of information acquisition between traders can be observed in many situations, e.g., overseas investors and domestic investors, insiders and outsiders. Because methods, languages, etc. they use to get information are different, they obtain information about the fundamental values of financial commodities with different speeds. We used a double-auction artificial market to simulate when difference on speed of information acquisition exists, how price limits effect the stability of the financial market, and the profitability of traders who has different speeds to obtain the information about fundamental value. We found if there is difference of speed for getting information between traders, price limits do not always enhance the stability of market. When the band of price limits is loose, the volatility of market price will rise if the ratio of traders with fast speed of information acquisition is relatively large. And when the band of price limits is loose, some traders who has slower speed of information acquisition may be hurt by price limits. Our work shows it is necessary to consider the difference on speed of information acquisition when designing some market institutions like price limits.
关键词：price limits;information;fundamental value;volatility;artificial market