Analysis of micro-macro structure of financial markets via agent-based model: Risk management and dynamics of asset pricing

Hiroshi Takahashi, Takao Terano

研究成果: Article査読

5 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)38-48
ページ数11
ジャーナルElectronics and Communications in Japan, Part II: Electronics (English translation of Denshi Tsushin Gakkai Ronbunshi)
87
7
DOI
出版ステータスPublished - 2004 7 1
外部発表はい

ASJC Scopus subject areas

  • Physics and Astronomy(all)
  • Computer Networks and Communications
  • Electrical and Electronic Engineering

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