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人工市場シミュレーションを用いた自己資本規制の金融市場に与える影響分析

平野 正徳, 米納 弘渡, 和泉 潔

2018年度人工知能学会全国大会(第32回), p. 2P205, June 6, 2018

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Conference

2018年度人工知能学会全国大会(第32回)

Abstract

Basel regulatory framework, one of CAR (capital adequacy ratio) regulations, is said to make markets destabilized in a previous study. But the previous study included some inappropriate assumptions. So, this study assessed this destabilizing effects with a new model. In my model, FCN agents and 2 kinds of portfolio agents, CAR regulated ones and not regulated ones, were included. Using this model, some simulations were run. As results, the simulations revealed some facts: 1. Asset management using portfolio stabilizes markets and the stabilizing effect are significant if there are a lot of markets included in the portfolio; 2. CAR regulation destabilizes markets and vanish the stabilizing effects of portfolio. In addition, the results of my simulations suggest that CAR regulation does not only raise the chance of price crashes but also depress whole price.

doi

10.11517/pjsai.JSAI2018.0_2P205

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bibtex

@inproceedings{Hirano2018-jsai32,
  title={{人工市場シミュレーションを用いた自己資本規制の金融市場に与える影響分析}},
  author={平野, 正徳 and 米納, 弘渡 and 和泉, 潔},
  booktitle={2018年度人工知能学会全国大会(第32回)},
  pages={2P205},
  doi={10.11517/pjsai.JSAI2018.0_2P205},
  year={2018}
}

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