人工市場を用いた格付け情報が市場へ与える影響評価

• 勝見 瞬

  東京工業大学大学院 社会理工学研究科

• 島尾 尭

  東京工業大学大学院 社会理工学研究科

• 西山 昇

  東京工業大学大学院 社会理工学研究科

書誌事項

タイトル別名

• An Analysis of Some Effects of Rating Information using an Artificial Market

抄録

Standard & Poor's (S&P) downgraded American government bonds from AAA to AA+ last year. The effects of the downgrade on financial markets have been studied in financial engineering, economics and computational finance, but not in agent-based simulation studies. In this paper, we investigate the effect of the rating system (e.g.: S & P) on asset price fluctuations in the artificial market, which is the agent-based simulation model of the financial market. The rating information is defined as a discrete version of the fundamental value. Four strategies : the noise trader, the fundamentalist, the trend predictor, and the contrarian trader, were assumed in previous studies of the artificial market, plus we assume a new agent called ``rating user'' which uses the rating value, defined as the discrete value of the fundamental value of an asset. We investigate if the rating user makes the artificial market unstable. First, the simulation results show that kurtosis of an asset price return in the market, without fundamentalists, is higher than without rating users. This suggests the usage of rating information makes the artificial market unstable. The simulation outcomes also suggest volatility continuity of asset price return is stronger in the market without fundamentalists than without rating users. Second, we investigate how two parameters, the update interval and rating length, which control the rating value, makes the market stable. The simulation outcomes show that both standard deviation of asset price return and kurtosis of asset price return becomes smaller as the update interval increases. The standard deviation gets larger and kurtosis of that gets larger with the increasing length of rating. These results imply that the rating information should be updated at short intervals and the length of rating should be moderate to make the artificial market stable.

収録刊行物

• 人工知能学会論文誌

  人工知能学会論文誌 27 (6), 384-390, 2012

  一般社団法人 人工知能学会

キーワード

• raing-information
• financial market
• artificial market
• agent-based simulation

詳細情報

• CRID: 1390282680083227904
• NII論文ID: 130001885105
• DOI: 10.1527/tjsai.27.384
• BIBCODE: 2012TJSAI..27..384K
• ISSN: 13468030
• ISSN: 13460714
• Web Site: https://www.jstage.jst.go.jp/article/tjsai/27/6/27_384/_pdf
• 本文言語コード: ja
• データソース種別:
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  • CiNii Articles
• 抄録ライセンスフラグ: 使用不可