Article citationsMore>>

R. Yamamoto and H. Hirata, “Strategy Switching in the Japanese Stock Market,” Japan Center for Economic Research Discussion Paper, No. 135, 2012.

has been cited by the following article:

• TITLE: Design of Financial Market Regulations against Large Price Fluctuations Using by Artificial Market Simulations

  AUTHORS: Takanobu Mizuta, Kiyoshi Izumi, Isao Yagi, Shinobu Yoshimura

  KEYWORDS: Artificial Market; Multi Agent Simulation; Financial Crash; Price Variation Limit; Short Selling Regulation; Up-Tick Rule

  JOURNAL NAME: Journal of Mathematical Finance, Vol.3 No.2A, April 29, 2013

  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 regulation and the up-tick rule caused the trading prices to be higher than the fundamental value. We also surveyed an adequate 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.