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Design of Financial Market Regulations against Large Price Fluctuations Using by Artificial Market Simulations
SPARX Asset Management Co., Ltd., Tokyo, Japan; School of Engineering, The University of Tokyo, Tokyo, Japan
School of Engineering, The University of Tokyo, Tokyo, Japan; CREST & PRESTO, Japan Science and Technology Agency, Tokyo, Japan
Faculty of Information Technology, Kanagawa Institute of Technology, Kanagawa, Japan
School of Engineering, The University of Tokyo, Tokyo, Japan
- 1 SPARX Asset Management Co., Ltd., Tokyo, Japan; School of Engineering, The University of Tokyo, Tokyo, Japan
- 2 School of Engineering, The University of Tokyo, Tokyo, Japan; CREST & PRESTO, Japan Science and Technology Agency, Tokyo, Japan
- 3 Faculty of Information Technology, Kanagawa Institute of Technology, Kanagawa, Japan
- 4 School of Engineering, The University of Tokyo, Tokyo, Japan
Journal of Mathematical Finance·Volume 03 (2013)·Pages 15–22·Published 29 April 2013·DOI10.4236/jmf.2013.32A003
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Abstract
We built an artificial market model and compared effects of price variation limits, short selling regulations and up-tick rules. In the case without the regulations, the price fell to below a fundamental value when an economic crush occurred. On the other hand, in the case with the regulations, this overshooting did not occur. However, the short selling regula tion and the up-tick rule caused the trading prices to be higher than the fundamental value. We also surveyed an ade quate limitation price range and an adequate limitation time span for the price variation limit and found a parameters’ condition of the price variation limit to prevent the over-shorts. We also showed the limitation price range should be bigger than a volatility calculated by the limitation time span.
KeywordsArtificial MarketMulti Agent SimulationFinancial CrashPrice Variation LimitShort Selling RegulationUp-Tick Rule
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