Analysis of the Interaction between Option Market and Its Underlying Market by Coupled Artificial Markets

• Kawakubo Saki

  School of Engineering, The University of Tokyo

• Izumi Kiyoshi

  School of Engineering, The University of Tokyo

Bibliographic Information

Other Title

• 連成型人工市場によるオプション取引戦略が原資産市場に与える影響の分析

Abstract

The effect of option markets on their underlying markets has been studied intensively since the first option market launched. Despite considerable efforts, including the development of theoretical and empirical approaches, we do not yet have conclusive evidence on this effect. We investigate the effect of option markets, especially that of dynamic hedging, on their underlying markets by using an artificial market. We propose a two-market model in which an option market and its underlying market interact. We confirmed that trading behaviors on expire date are not effect on its underlying market, but dynamic hedging, arbitrage trading changed volatility on the price of underlying asset under certain conditions.

Journal

• Transactions of the Japanese Society for Artificial Intelligence

  Transactions of the Japanese Society for Artificial Intelligence 31 (6), AG-D-1-10, 2016

  The Japanese Society for Artificial Intelligence

Keywords

• multi agent model
• coupling artificial market
• option market
• financial market

Details

• CRID: 1390282680085422336
• NII Article ID: 130005277055
• DOI: 10.1527/tjsai.ag-d
• ISSN: 13468030
• ISSN: 13460714
• Web Site: https://www.jstage.jst.go.jp/article/tjsai/31/6/31_AG-D/_pdf
• Text Lang: ja
• Data Source:
  • JaLC
  • Crossref
  • CiNii Articles
  • KAKEN
• Abstract License Flag: Disallowed