4 papers
Instability of financial markets by optimizing investment strategies investigated by an agent-based model
Takanobu Mizuta, Isao Yagi, Kosei Takashima
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves ar…
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…
Analysis of the impact of maker-taker fees on the stock market using agent-based simulation
Isao Yagi, Mahiro Hoshino, Takanobu Mizuta
Recently, most stock exchanges in the U.S. employ maker-taker fees, in which an exchange pays rebates to traders placing orders in the order book and charges fees to traders taking…