028-03

第28回研究会

株式市場の流動性と投資家の効用の関係について: 注文間の相互作用を導入して†

著者†

南雲将太, 一木信吾, 島田尚(東京大学)

概要†

In stock markets, it is often argued that increased liquidity contributes to the public benefit of the market as a whole, but it is not self-evident. In this study, we analyze the impact of increasing market liquidity on traders' utility mathematically. We calculate an exact solution of an average expected utility for one trader by using a simple model in which we assume orders follow independent uniform distributions. However, even when we assume a more complicated model where orders interact with each other, we obtain the result consistent with the first simple model in the limit of infinite number of orders. Also, we define a balance price on the order book, and we analyze the behavior of the balance price.

キーワード†

econophysics, artificial market, agent simulation, auction theory, order book, liquidity, volatility

論文†

03_SIG-FIN-28.pdf