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Effects Analysis of CAR Regulations on Financial Markets using Artificial Market Simulations [in Japanese]

Masanori HIRANO, Hiroto YONENOH, Kiyoshi IZUMI

The 32nd Annual Conference of the Japanese Society for Artificial Intelligence, June 6, 2018


Conference

The 32nd Annual Conference of the Japanese Society for Artificial Intelligence (JSAI2018)

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


bibtex

@inproceedings{Hirano2018-jsai32,
  title={{Effects Analysis of CAR Regulations on Financial Markets using Artificial Market Simulations [in Japanese]}},
  autor={Masanori HIRANO and Hiroto YONENOH and Kiyoshi IZUMI},
  booktitle={The 32nd Annual Conference of the Japanese Society for Artificial Intelligence},
  pages={2P205},
  doi={10.11517/pjsai.JSAI2018.0_2P205},
  year={2018}
}