A Brief Review of Recent Artificial Market Simulation (Agent-Based Model) Studies for Financial Market Regulations and/or Rules

9 Pages Posted: 4 Jan 2016 Last revised: 6 Jul 2019

See all articles by Takanobu Mizuta

Takanobu Mizuta

SPARX Asset Management Co., Ltd.

Date Written: January 4, 2016

Abstract

It is very difficult to discuss about changing financial market regulations and/or rules by only using results of empirical studies. An artificial market, which is a kind of an agent-based model, can isolate the pure contribution of changing the regulations to the price formation and can treat situations that have never occurred. These are strong points of the artificial market simulation study. Recently, some artificial market studies contributed to discussion what financial regulations and rules should be, for example, price variation limits and short selling regulation whether preventing bubbles and crushes or not, tick size, usage rate of dark pools, rules for investment diversification, speed of order matching systems on financial exchanges, frequent batch auctions, how active funds that trade infrequently make a market more efficient, an interaction between leveraged ETF markets and underlying markets and micro-foundation of price variation model using intelligence of artificial market simulation studies:

https://ssrn.com/abstract=2710457.

I will review those studies.

Keywords: Artificial Market Simulation, Multi-Agent Model, Agent-Based Model, Financial Market Regulation

JEL Classification: G1, G18

Suggested Citation

Mizuta, Takanobu, A Brief Review of Recent Artificial Market Simulation (Agent-Based Model) Studies for Financial Market Regulations and/or Rules (January 4, 2016). Available at SSRN: https://ssrn.com/abstract=2710495 or http://dx.doi.org/10.2139/ssrn.2710495

Takanobu Mizuta (Contact Author)

SPARX Asset Management Co., Ltd. ( email )

Tokyo
Japan

HOME PAGE: http://mizutatakanobu.com

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