12 citations · 14 across the 8 of their papers we have counts for
8 papers
Impact of arbitrage between leveraged ETF and futures on market liquidity during market crash
Ryuki Hayase, Takanobu Mizuta, Isao Yagi
Leveraged ETFs (L-ETFs) are exchange-traded funds that achieve price movements several times greater than an index by holding index-linked futures such as Nikkei Stock Average Inde…
Is an investor stolen their profits by mimic investors? Investigated by an agent-based model
Takanobu Mizuta, Isao Yagi
Some investors say increasing investors with the same strategy decreasing their profits per an investor. On the other hand, some investors using technical analysis used to use same…
Analysis of the Impact of an Execution Algorithm with an Order Book Imbalance Strategy on a Financial Market Using an Agent-based Simulation
Shuto Endo, Takanobu Mizuta, Isao Yagi
Order book imbalance (OBI) - buy orders minus sell orders near the best quote - measures supply-demand imbalance that can move prices. OBI is positively correlated with returns, an…
Comparing effects of price limit and circuit breaker in stock exchanges by an agent-based model
Takanobu Mizuta, Isao Yagi
The prevention of rapidly and steeply falling market prices is vital to avoid financial crisis. To this end, some stock exchanges implement a price limit or a circuit breaker, and…
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…