4 citations · 6 across the 7 of their papers we have counts for
7 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…
A Multi-agent Market Model Can Explain the Impact of AI Traders in Financial Markets -- A New Microfoundations of GARCH model
Kei Nakagawa, Masanori Hirano, Kentaro Minami +1
The AI traders in financial markets have sparked significant interest in their effects on price formation mechanisms and market volatility, raising important questions for market s…
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…
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…