戦略学習がGARCH効果に及ぼす影響のシミュレーションと分析

カテゴリ: 論文誌(論文単位)

グループ名: 【C】電子・情報・システム部門

発行日: 2013/09/01

タイトル(英語): Analysis of the Impact of Changing Strategy on the GARCH Effect with Artificial Market Simulation

著者名: 湯浅　辰丸（名古屋大学大学院情報科学研究科／東京大学大学院工学系研究科），鳥海　不二夫（東京大学大学院工学系研究科），平山　高嗣（名古屋大学大学院情報科学研究科），榎堀　優（名古屋大学大学院情報科学研究科），間瀬　健二（名古屋大学大学院情報科学研究科）

著者名(英語): Tatsuma Yuasa (Mase Lab., Graduate School of Information Science Nagoya University/TokyoDepartment of Systems innovations Graduate School of Engineering The University of Tokyo), Fujio Toriumi (TokyoDepartment of Systems innovations Graduate School of Engineering The University of Tokyo), Takatsugu Hirayama (Mase Lab., Graduate School of Information Science Nagoya University), Yu Enokibori (Mase Lab., Graduate School of Information Science Nagoya University), Kenji Mase (Mase Lab., Graduate School of Information Science Nagoya University)

キーワード: GARCH効果，人工市場，戦略学習，エージェントベースシミュレーション　　GARCH Effect，Artificial Market，Learning Strategy，Agent-based Simulation

要約(英語): The GARCH model is effective to describe the fluctuation process of financial price. It is a model to observe the non-uniform variance of time-series data of financial prices. However, definite theory to reveal how the GARCH effect is produced yet although behavioral characteristics of investors seem to be involved in the causes of GARCH effect. In this study, we aim to reveal the mechanism of producing the GARCH effect in artificial market simulations. We focus on frequency of learning investment strategy.The simulation yielded the results as follows: the lower the probability of changing investment strategy, the higher the GARCH effect. Results suggested that the GARCH effect relate to the ratio of changing strategies. Another simulation showed that inefficient market can occur the GARCH effect. All simulations same result, these findings could be regarded as general differences, caused by an uniform frequency of learning. The GARCH effect is caused by inefficient markets and ineffective investors.

本誌: 電気学会論文誌C（電子・情報・システム部門誌） Vol.133 No.9 （2013） 特集：エージェントシミュレーションの最新動向

本誌掲載ページ: 1717-1728 p

原稿種別: 論文／日本語

電子版へのリンク: https://www.jstage.jst.go.jp/article/ieejeiss/133/9/133_1717/_article/-char/ja/