Investigation of Price Variation Limits, Short Selling Regulation, and Uptick Rules and Their Optimal Design by Artificial Market Simulations

• TAKANOBU MIZUTA

  SPARX Asset Management Co. Ltd. and University of Tokyo Japan

• KIYOSHI IZUMI

  University of Tokyo and CREST Japan

• ISAO YAGI

  Kanagawa Institute of Technology Japan

• SHINOBU YOSHIMURA

  University of Tokyo Japan

Abstract

We built an artificial market model and compared the effects of price variation limits, short sell regulations, and uptick rules. When there were no regulations, the price fell below the fundamental value when economic bubble collapses occurred. When there were regulations, this overshoot did not occur and the market was more effective. However, the short sell regulations and uptick rules caused the trading prices to be higher than the base value. To summarize these points, the price variation limits have the potential to make the market more effective. We also surveyed an adequate limitation price range and an adequate limitation time span for the price variation limit and found conditions for the parameters for the price variation limit that prevent such overshoots.

Journal

• Electronics and Communications in Japan

  Electronics and Communications in Japan 98 (7), 13-21, 2015-06-11

  Wiley

Keywords

• Applied Mathematics
• Electrical and Electronic Engineering
• Computer Networks and Communications
• General Physics and Astronomy
• Signal Processing

Details

• CRID: 1360004230092385792
• NII Article ID: 210000177348
• DOI: 10.1002/ecj.11684
• ISSN: 19429541
• ISSN: 19429533
• Web Site: https://api.wiley.com/onlinelibrary/tdm/v1/articles/10.1002%2Fecj.11684
• Web Site: https://onlinelibrary.wiley.com/doi/pdf/10.1002/ecj.11684
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