An Agent-Based Model for Designing a Financial Market That Works Well

7 Pages Posted: 20 Jun 2019

See all articles by Takanobu Mizuta

Takanobu Mizuta

SPARX Asset Management Co., Ltd.

Date Written: June 14, 2019

Abstract

Designing a financial market that works well is very important for developing and maintaining an advanced economy, but is not easy because changing detailed rules, even ones that seem trivial, sometimes causes unexpected large impacts and side effects. A computer simulation using an agent-based model can directly treat and clearly explain such complex systems where micro processes and macro phenomena interact. Many effective agent-based models investigating human behavior have already been developed. Recently, an artificial market model, which is an agent-based model for a financial market, has started to contribute to discussions on rules and regulations of actual financial markets. I introduce an artificial market model to design financial markets that work well and describe a previous study investigating tick size reduction. I hope that more artificial market models will contribute to designing financial markets that work well to further develop and maintain advanced economies.

Keywords: Artificial Market Model, Agent-Based Model, Complex System, Financial Market Design, Financial Market Regulation, Financial Market Rules

JEL Classification: G1, G18

Suggested Citation

Mizuta, Takanobu, An Agent-Based Model for Designing a Financial Market That Works Well (June 14, 2019). Available at SSRN: https://ssrn.com/abstract=3403461 or http://dx.doi.org/10.2139/ssrn.3403461

Takanobu Mizuta (Contact Author)

SPARX Asset Management Co., Ltd. ( email )

Tokyo
Japan

HOME PAGE: http://mizutatakanobu.com

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