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

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

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 th...

Understanding Financial Market States Using an Artificial Double Auction Market.

The ultimate value of theories describing the fundamental mechanisms behind asset prices in financial systems is reflected in the capacity of such theories to understand these systems. Although the models that explain the various states of financial markets offer substantial evidence from the fields of finance, mathematics, and even physics, previous theories that attempt to address the complex...

Computing Market Equilibria with Price Regulations Using Mathematical Programming

One approach to modeling and solving for economic equilibria relies on mathematical programming. These models solve for competitive equilibria. However, policy analysis often requires measuring the impacts of government price regulations that differ from the competitive equilibrium. In this paper we provide a unified framework for computing market equilibrium in mathematical programming models ...

Price Dynamics and Market Volatility: Behavioral Heterogeneity under Switching Trading Strategies on Artificial Financial Market

In recent years, studying stock markets using multi-agent based models has grow into an important research area due to the fact that this line of attack replicates the nature of the financial market where varied traders with a mixture of expectations and diverse points of rationality network with each other through the market. The main aim of this paper is to include selected finding from behav...

Using Financial Derivatives to Hedge Against Market