In this research the authors use an agent-based approach to analyze the effects risk management has on a market overall. First, they confirm the validity of the risk management methods reported in the field of financial engineering. Then they confirm that under particular conditions, such as when there are a large number of investors who take into consideration the tendencies of other investors or when excessive risk management is used, risk management can cause market prices to deviate from standard levels.
|ジャーナル||Electronics and Communications in Japan, Part II: Electronics (English translation of Denshi Tsushin Gakkai Ronbunshi)|
|出版ステータス||Published - 2004 7月 1|
ASJC Scopus subject areas
- コンピュータ ネットワークおよび通信