This is the first book to focus on designing a financial market that works well, and that includes making and/or modulating detailed regulations and/or rules, by a computer simulation of an agent-based artificial financial market model (ABAFMM). The design of a financial market is very important for the development and maintenance of an advanced economy, but designing it is not easy because changes in detailed rules, even those that seem trivial, sometimes have unexpectedly large impacts and side effects in a financial market, which is a complex system. Traditional economics cannot treat a financial market as a complex system in which micromacro interaction and feedback loops have played essential roles, because traditional economics can only treat macrophenomena and micro processes separately. ABAFMM can do it, however.
This book explains, first, why ABAFMMs are needed to design financial markets and which models have good features. Following that explanation, the book discusses how to build the models. Then, cases of recent studies and their contributions are shown, and finally, the difficulties of researchers in this field are considered. This book is expected to facilitate the design of more ABAFMMs to contribute to creating financial markets that will further develop and maintain advanced economies.
Part
1. Importance and Model.
Chapter
1. Financial Market Design and Agent-Based Model.
Chapter
2. Base Model for Financial Market Design.- Part
2. Cases.
Chapter
3. Regulations/Rules.
Chapter
4. AI Traders/High Frequency Trades.
Chapter
5. New Financial Exchanges for High-Speed Era.
Chapter
6. Nature of Financial Market Phenomena.
Chapter
7. Active and Passive Funds.- Part
3. Summary and difficulty of this field.
Chapter
8. Summary and Difficulties of this Field.
Dr. Takanobu Mizuta is a fund manager and senior researcher at SPARX Asset Management Co., Ltd. He has more than 15 years of practical experience as a fund manager in stock markets. He also has 8 years of experience as a part-time lecturer at the Graduate School of Public Policy, the University of Tokyo in 2014-2022. He is a member of the IEEE Computational Finance and Economics Technical Committee (CFETC) since 2019 and the chair in 2024-2025. His research interest is in a computer simulation of an agent-based artificial financial market model (ABAFMM) to design a financial market that works well, that includes making and/or modulating detailed regulations and/or rules. His research has been published in top quantitative AI for finance conferences and has received various awards, including the 2021 best papers award nominee on the 8th IEEE International Conference on Behavioral, Economic, and Socio-Cultural Computing (BESC) and the 2014 3rd place award for the 2014 CIFEr best paper on the IEEE Conference Computational Intelligence for Financial Engineering and Economics (CIFEr). He is a member of IEEE CIS. He received his Ph.D. degree from the University of Tokyo. He holds a Master of Science degree from the University of Tokyo and a Bachelor of Science degree from the Japan Meteorological College.
Isao Yagi is a professor of computer science at Kogakuin University, Tokyo, Japan. His current research focuses on the application of agent-based models to understanding social, economic, and financial phenomena, especially on analyzing the effectiveness of financial regulations and rules as well as economic policies. He has received various awards, such as the specially selected paper of JIP Vol.32 from the Information Processing Society of Japan and the Distinguished Research Award on Behavioral and Economic Computing at the 5th International Conference on Behavioral, Economic, and Socio-Cultural Computing. He obtained a doctorate in engineering in 2006 from Nara Institute of Science and Technology and has taught at Kanagawa Institute of Technology in Japan.
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