3 papers
q-fin.CP2026
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…
q-fin.CP2026
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…
q-fin.CP2025
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…