IEICE TRANSACTIONS on Information
A Study on the Market Impact of the Rule for Investment Diversification at the Time of a Market Crash Using a Multi-Agent Simulation
Summary :
As financial products have grown in complexity and level of risk compounding in recent years, investors have come to find it difficult to assess investment risk. Furthermore, companies managing mutual funds are increasingly expected to perform risk control and thus prevent assumption of unforeseen risk by investors. A related revision to the investment fund legal system in Japan led to establishing what is known as “the rule for investment diversification” in December 2014, without a clear discussion of its expected effects on market price formation having taken place. In this paper, we therefore used an artificial market to investigate its effects on price formation in financial markets where investors follow the rule at the time of a market crash that is caused by the collapse of an asset fundamental price. As results, we found the possibility that when the fundamental price of one asset collapses and its market price also collapses, some asset market prices also fall, whereas other asset market prices rise for a market in which investors follow the rule for investment diversification.
- Publication
- IEICE TRANSACTIONS on Information Vol.E100-D No.12 pp.2878-2887
- Publication Date
- 2017/12/01
- Publicized
- 2017/09/15
- Online ISSN
- 1745-1361
- DOI
- 10.1587/transinf.2016AGP0003
- Type of Manuscript
- Special Section PAPER (Special Section on Frontiers in Agent-based Technology)
- Category
- Information Network
Authors
Atsushi NOZAKI
ALPHA SYSTEMS INC.
Takanobu MIZUTA
SPARX Asset Management Co., Ltd.
Isao YAGI
Kanagawa Institute of Technology
Keyword
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Atsushi NOZAKI, Takanobu MIZUTA, Isao YAGI, "A Study on the Market Impact of the Rule for Investment Diversification at the Time of a Market Crash Using a Multi-Agent Simulation" in IEICE TRANSACTIONS on Information,
vol. E100-D, no. 12, pp. 2878-2887, December 2017, doi: 10.1587/transinf.2016AGP0003.
Abstract: As financial products have grown in complexity and level of risk compounding in recent years, investors have come to find it difficult to assess investment risk. Furthermore, companies managing mutual funds are increasingly expected to perform risk control and thus prevent assumption of unforeseen risk by investors. A related revision to the investment fund legal system in Japan led to establishing what is known as “the rule for investment diversification” in December 2014, without a clear discussion of its expected effects on market price formation having taken place. In this paper, we therefore used an artificial market to investigate its effects on price formation in financial markets where investors follow the rule at the time of a market crash that is caused by the collapse of an asset fundamental price. As results, we found the possibility that when the fundamental price of one asset collapses and its market price also collapses, some asset market prices also fall, whereas other asset market prices rise for a market in which investors follow the rule for investment diversification.
URL: https://global.ieice.org/en_transactions/information/10.1587/transinf.2016AGP0003/_p
Copy
@ARTICLE{e100-d_12_2878,
author={Atsushi NOZAKI, Takanobu MIZUTA, Isao YAGI, },
journal={IEICE TRANSACTIONS on Information},
title={A Study on the Market Impact of the Rule for Investment Diversification at the Time of a Market Crash Using a Multi-Agent Simulation},
year={2017},
volume={E100-D},
number={12},
pages={2878-2887},
abstract={As financial products have grown in complexity and level of risk compounding in recent years, investors have come to find it difficult to assess investment risk. Furthermore, companies managing mutual funds are increasingly expected to perform risk control and thus prevent assumption of unforeseen risk by investors. A related revision to the investment fund legal system in Japan led to establishing what is known as “the rule for investment diversification” in December 2014, without a clear discussion of its expected effects on market price formation having taken place. In this paper, we therefore used an artificial market to investigate its effects on price formation in financial markets where investors follow the rule at the time of a market crash that is caused by the collapse of an asset fundamental price. As results, we found the possibility that when the fundamental price of one asset collapses and its market price also collapses, some asset market prices also fall, whereas other asset market prices rise for a market in which investors follow the rule for investment diversification.},
keywords={},
doi={10.1587/transinf.2016AGP0003},
ISSN={1745-1361},
month={December},}
Copy
TY - JOUR
TI - A Study on the Market Impact of the Rule for Investment Diversification at the Time of a Market Crash Using a Multi-Agent Simulation
T2 - IEICE TRANSACTIONS on Information
SP - 2878
EP - 2887
AU - Atsushi NOZAKI
AU - Takanobu MIZUTA
AU - Isao YAGI
PY - 2017
DO - 10.1587/transinf.2016AGP0003
JO - IEICE TRANSACTIONS on Information
SN - 1745-1361
VL - E100-D
IS - 12
JA - IEICE TRANSACTIONS on Information
Y1 - December 2017
AB - As financial products have grown in complexity and level of risk compounding in recent years, investors have come to find it difficult to assess investment risk. Furthermore, companies managing mutual funds are increasingly expected to perform risk control and thus prevent assumption of unforeseen risk by investors. A related revision to the investment fund legal system in Japan led to establishing what is known as “the rule for investment diversification” in December 2014, without a clear discussion of its expected effects on market price formation having taken place. In this paper, we therefore used an artificial market to investigate its effects on price formation in financial markets where investors follow the rule at the time of a market crash that is caused by the collapse of an asset fundamental price. As results, we found the possibility that when the fundamental price of one asset collapses and its market price also collapses, some asset market prices also fall, whereas other asset market prices rise for a market in which investors follow the rule for investment diversification.
ER -
English
