Papers - Takahashi, Hiroshi

金融市場における投資家行動と価格変動に関する研究

TAKAHASHI Hiroshi

人工知能学会誌 20 ( 1 ) 110 2005

Research paper (scientific journal), Single Work

金融市場における投資家行動と価格変動に関する研究

TAKAHASHI Hiroshi

日本社会情報学会誌 17 ( 2 ) 58-59 2005

Research paper (scientific journal), Single Work

エージェントベースモデルの金融市場への応用

TAKAHASHI Hiroshi

名古屋市立大学経済学部水曜研究会  2004

Single Work

天気晴朗ならば株高し

加藤英明, 高橋 大志

現代ファイナンス 15   35-50 2004

Research paper (scientific journal), Joint Work, Accepted

Analysis of Micro-Macro Structure of Financial Markets via Agent-Based Model: Risk Management and Dynamics of Asset Pricing

TAKAHASHI Hiroshi, Takao Terano

Electronics and Communications in Japan 87 ( 7 ) 38-48 2004

Research paper (scientific journal), Joint Work, Accepted

行動ファイナンスとエージェントベースモデル

TAKAHASHI Hiroshi

オペレーションズ・リサーチ 49   148-153 2004

Research paper (scientific journal), Single Work, Accepted

エージェントベースモデルによるパッシブ運用と資産価格変動の関連性の分析

TAKAHASHI Hiroshi

国民経済雑誌 (Kobe University)  190 ( 1 ) 33-51 - 51 2004

Research paper (scientific journal), Single Work, Accepted,  ISSN  0387-3129

天候と株価

TAKAHASHI Hiroshi

証券経済学会年報 39   209-213 2004

Research paper (scientific journal), Single Work

金融市場における投資家行動と価格変動に関する研究

TAKAHASHI Hiroshi

筑波大学大学院ビジネス科学研究科　博士学位論文  2004

Research paper (scientific journal), Single Work

エージェントベースアプローチによる金融市場の分析と他分野への適用について

TAKAHASHI Hiroshi

第2回 プロスペクト・セオリー勉強会  2004

Single Work

Analysis, of micro-macro structure of financial markets via agent-based model: Risk management and dynamics of asset pricing

H Takahashi, T Terano

ELECTRONICS AND COMMUNICATIONS IN JAPAN PART II-ELECTRONICS (SCRIPTA TECHNICA-JOHN WILEY & SONS)  87 ( 7 ) 38 - 48 2004

Accepted,  ISSN  8756-663X

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In this research the authors use an agent-based approach to analyze the effects risk management has on a market overall. First, they confirm the validity of the risk management methods reported in the field of financial engineering. Then they confirm that under particular conditions, such as when there are a large number of investors who take into consideration the tendencies of other investors or when excessive risk management is used, risk management can cause market prices to deviate from standard levels. (C) 2004 Wiley Periodicals, Inc.

• Access to Document (DOI)

天候と株価変動の関連性について

高橋大志, 加藤英明

2003年統数研/総研大「経済学」研究会第2回会合発表．  2003

Joint Work

Agent-Based Approach to Investors’ Behavior and Asset Price Fluctuations in Financial Markets

TAKAHASHI Hiroshi,Takao Terano

Journal of Artificial Societies and Social Simulation (J A S S S)  6 ( 3 )  2003

Research paper (scientific journal), Joint Work, Accepted,  ISSN  1460-7425

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In this paper, we use Agent-Based Approach to analyze how asset prices are affected by investors and investment systems that are based on Behavioral Finance. We build a virtual financial market that contains two types of investors: fundamentalists and non-fundamentalists. As a result of intensive experiments in the market, we find that (1) the traded price agrees with the fundamental value and the fundamentalists survive according to the principle of natural selection in the case that the market contains the same number of fundamentalists and trend predictors (investors who make trend prediction), (2) the traded price largely deviates from the fundamental value and the non-fundamentalists frequently obtain excess returns and therefore the fundamentalists are eliminated according to the principle of natural selection in the case that the proportion of trend predictors is extremely high or in the case that the investment ratio of the risk asset is restricted, and (3) the traded price largely deviates from the fundamental value in the case that the non-fundamentalists estimate the losses excessively, as pointed in Prospect Theory. These results indicate that the non-fundamentalists affect the traded prices and obtain excess returns also in real markets.

エージェントモデルによる金融市場のミクロマクロ構造の分析：リスクマネジメントと資産価格変動

高橋大志, 寺野隆雄

電子情報通信学会和文論文誌 J86-D-I ( 8 ) 618-628 2003

Research paper (scientific journal), Joint Work, Accepted

エージェントベースアプローチの金融市場への応用

TAKAHASHI Hiroshi

証券アナリストジャーナル 41 ( 2 ) 58-69 2003

Research paper (scientific journal), Single Work, Accepted

行動ファイナンス ～投資家心理と株価(天候の例)～

TAKAHASHI Hiroshi

郵貯資金研究協会月報 166   9-10 2003

Research paper (other academic), Single Work

エージェントシミュレーションによるGARCHモデルとProspect理論の関連性の分析

高橋大志, 寺野隆雄

シミュレーション 21 ( 2 ) 55-64 - 142 2002.03

Research paper (scientific journal), Joint Work, Accepted

Non-Rational Agents Explain GARCH Model: Agent Simulation for Behavioral Finance

Hiroshi TAKAHASHI, Takao TERANO

Multi-Agent Modeling and Simulation of Economic Systems  2002

Research paper (scientific journal), Joint Work

Non-Rational Agents Explain GARCH Model: Agent Simulation for Behavioral Finance

Hiroshi TAKAHASHI, Takao TERANO

AAAI 2002 Workshop on Multi-Agent Modeling and Simulation of Economic Systems  2002

Joint Work, Accepted

エージェントモデルによる金融市場への接近

TAKAHASHI Hiroshi

日経Quick主催 トレーディングテクノロジー研究会  2002

Single Work