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

Hiroshi Takahashi; Takao Terano

doi:10.1002/ecjb.20100

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

Hiroshi Takahashi, Takao Terano

Research output: Contribution to journal › Article › peer-review

6 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	38-48
Number of pages	11
Journal	Electronics and Communications in Japan, Part II: Electronics (English translation of Denshi Tsushin Gakkai Ronbunshi)
Volume	87
Issue number	7
DOIs	https://doi.org/10.1002/ecjb.20100
Publication status	Published - 2004 Jul
Externally published	Yes

Keywords

Agent- based approach
Herd behavior
Portfolio insurance
Risk management
Valuated risk

ASJC Scopus subject areas

Physics and Astronomy(all)
Computer Networks and Communications
Electrical and Electronic Engineering

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10.1002/ecjb.20100

Cite this

Analysis of micro-macro structure of financial markets via agent-based model: Risk management and dynamics of asset pricing. / Takahashi, Hiroshi; Terano, Takao.
In: Electronics and Communications in Japan, Part II: Electronics (English translation of Denshi Tsushin Gakkai Ronbunshi), Vol. 87, No. 7, 07.2004, p. 38-48.

Research output: Contribution to journal › Article › peer-review

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

Abstract

Keywords

ASJC Scopus subject areas

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