20 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
5 papers
Do new investment strategies take existing strategies' returns -- An investigation into agent-based models
Takanobu Mizuta
Commodity trading advisors (CTAs), who mainly trade commodity futures, showed good returns in the 2000s. However, since the 2010's, they have not performed very well. One possible…
Analysis of the Impact of High-Frequency Trading on Artificial Market Liquidity
Isao Yagi, Yuji Masuda, Takanobu Mizuta
Many empirical studies have discussed market liquidity, which is regarded as a measure of a booming financial market. Further, various indicators for objectively evaluating market…
Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation
Isao Yagi, Shunya Maruyama, Takanobu Mizuta
A leveraged ETF is a fund aimed at achieving a rate of return several times greater than that of the underlying asset such as Nikkei 225 futures. Recently, it has been suggested th…
Does an artificial intelligence perform market manipulation with its own discretion? -- A genetic algorithm learns in an artificial market simulation
Takanobu Mizuta
Who should be charged with responsibility for an artificial intelligence performing market manipulation have been discussed. In this study, I constructed an artificial intelligence…
An agent-based model for designing a financial market that works well
Takanobu Mizuta
Designing a financial market that works well is very important for developing and maintaining an advanced economy, but is not easy because changing detailed rules, even ones that s…