Papers - Takahashi, Hiroshi

ニュースを用いたCSR 活動が株価に与える影響の分析

TAKAHASHI Hiroshi

日本金融・証券計量・工学学会(JAFEE) ジャフィー・ジャーナル  2016

Research paper (scientific journal), Joint Work, Accepted

Analysis of the Influences of Central Bank Financing on Operative Collapses of Financial Institutions using Agent-based Simulation

Takamasa Kikuchi, Masaaki Kunigami, Takashi Yamada, Hiroshi Takahashi, Takao Terano

PROCEEDINGS 2016 IEEE 40TH ANNUAL COMPUTER SOFTWARE AND APPLICATIONS CONFERENCE WORKSHOPS (COMPSAC), VOL 2 (IEEE)     95 - 104 2016

Accepted,  ISSN  0730-3157

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Studies on financial crisis have focused on "systemic risk", whereby the collapse of one or more financial institutions has a ripple effect on the financial system itself. To prevent the occurrence or spread of such risks, a variety of discussions and studies have examined the role of central banks. This study deals with a case where central banks play a critical backup role in interbank markets. To realize the study aims, the authors develop an agent-based simulation platform and analyze the influences of central bank financing on operative reaction collapses of financial institutions. The main results are as follows: First, their financing may prevent operative reaction collapses by easing cash-flow situations. Additionally, there exist other risks such as financial institutions becoming excessively dependent for funding on the central bank, and unhealthy institutions remaining alive when they deserve to fail.

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企業活動とマーケット ─財務上の意思決定と企業のステークホルダ─

TAKAHASHI Hiroshi

人工知能 30 ( 4 ) 437 - 444 2015

Research paper (scientific journal), Single Work

Analyzing the Influence of Market Conditions on the Effectiveness of Smart Beta

TAKAHASHI Hiroshi

Agent and Multi-Agent Systems: Technologies and Applications, Smart Innovation, Systems and Technologies (Sprigner)  38   417 - 426 2015

Research paper (international conference proceedings), Single Work,  ISSN  2190-3018

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Stock indices play a significant role in asset management business. Price indices are popular in practical business. However, recent empirical analyses suggest that a smart beta, which is proposed as a new stock index, could achieve a positive excess return. With these arguments in mind, this study analyzes the effectiveness of smart beta through agent-based modeling. As a result of intensive experiments in the market, I made the following finding that effectiveness of smart beta could be influenced by the extent of a diversity of investors' behavior. These results are significant from both practical and academic viewpoints.

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Analyzing the validity of passive investment strategies under financial constraints

TAKAHASHI Hiroshi

Advances in Computational Social Science: The Fourth World Congress, Agent-Based Social Systems (Springer)   2014

Research paper (international conference proceedings), Single Work, Accepted

Analyzing the Efficacy of Passive Investment Strategies through Agent-Based Modelling: Overconfident Investors and Investors with Better Predictive Power

TAKAHASHI Hiroshi

Agent and Multi-Agent Systems: Technologies and Applications, Advances in Intelligent Systems and Computing (Springer)  296   203 - 212 2014

Single Work,  ISSN  2194-5357

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This study analyses the efficacy of a passive investment strategy - which is one of the most popular investment strategies in the asset management business - thorough agent-based modelling. As a result of intensive experimentation, the following conclusions were confirmed: (1) overconfident investors could achieve a positive excess return in the market where there are no passive investors. However, (2) even if overconfident investors have better predictive power, they couldn’t survive in a market where passive investors exist. These results suggest the effectiveness of a passive investment strategy. The results are of both academic interest and practical use.

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自社株買いと社債市場の関係について

TAKAHASHI Hiroshi

証券アナリストジャーナル (日本証券アナリスト協会)  51 ( 10 ) 83 - 95 2013

Research paper (scientific journal), Joint Work, Accepted,  ISSN  0287-7929

Analyzing the influence of value at risk on financial markets through agent-based modeling

TAKAHASHI Hiroshi

International Journal of Knowledge-Based and Intelligent Engineering Systems 17 ( 4 ) 257 - 266 2013

Research paper (scientific journal), Single Work, Accepted,  ISSN  1327-2314

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This article describes the influence of risk management on financial markets. Institutional investors, such as pension funds, are legally required to follow a duty of care. Implementing adequate risk management is regarded as a central part of institutional investors' legal responsibilities and considered to be effective in terms of limiting investors' losses. The most prevalent risk management method is known as Value at Risk (VaR) and this is the focal point of my analysis. As a result of intensive agent-based modeling and experimentation, I have concluded that: (1) market prices could deviate from fundamental values when risk management criteria are too strict
(2) the larger the disparity of investors' estimations of stock prices becomes, the larger the tendency of deviation from fundamental values
(3) the same tendency can be observed under market conditions where heterogeneous investors trade. These results suggest that risk management which is required by law as a duty of care could contribute to market inefficiencies. If so, this is significant from both practical and academic points of view. Furthermore, I believe this paper proves the efficacy of agent-based modeling in analyzing the impact of certain regulations and laws on financial markets under realistic market conditions. © 2013-IOS Press and the authors.

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決算情報が社債に与える影響

TAKAHASHI Hiroshi

日本金融・証券計量・工学学会(JAFEE) ジャフィー・ジャーナル(to appear)  2013

Research paper (scientific journal), Joint Work, Accepted

投資家心理とマーケット

TAKAHASHI Hiroshi

日本IR協議会広報誌「IR-COM」 (日本IR協議会広報誌「IR-COM」)     3 2013

Research paper (other academic), Single Work

Analyzing the influence of dispersion of fundamentalists' valuations on the effectiveness of passive investment strategy under financial constraints

TAKAHASHI Hiroshi

International Journal of Intelligent Systems Technologies and Applications 12 ( 2 ) 111 - 127 2013

Research paper (scientific journal), Single Work, Accepted

Analyzing the Influence of Head-Line News on the Stock Market in Japan

Yasuo YAMASHITA, Hiroaki JOHTAKI, Hiroshi TAKAHASHI

International Journal of Intelligent Systems Technologies and Applications 12   328 - 342 2013

Research paper (scientific journal), Joint Work

Analysing the influence of headline news on the stock market in Japan

Yasou Yamashita, Hiroaki Joutaki, Hiroshi Takahashi

International Journal of Intelligent Systems Technologies and Applications 12 ( 3-4 ) 328 - 342 2013

ISSN  1740-8865

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This research analysed the relationship between headlines in the news and the stock market in Japan through text mining technology. As a result of intensive analyses, we found a significant relationship between the stock index return changes and the negative (or positive) news classified by keywords. At the same time, we also found that the measure of constructing a keyword list has a significant impact on the performance of this classification. Copyright © 2013 Inderscience Enterprises Ltd.

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Analysing the influence of dispersion of fundamentalists' valuations on the effectiveness of passive investment strategy under financial constraints

Hiroshi Takahashi

International Journal of Intelligent Systems Technologies and Applications 12 ( 2 ) 111 - 127 2013

Accepted,  ISSN  1740-8865

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This paper analyses the influence of dispersion of fundamentalists' valuations on the effectiveness of passive investment strategy under financial constraints. As a result of intensive experiment, the following results were confirmed: (a) the degree of fundamental values' estimation accuracy affects the validity of passive investment strategy, (b) upper and lower constraints on tilting lead to the same results. These results are significant from both practical and academic view points. Copyright © 2013 Inderscience Enterprises Ltd.

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Analysis of Rights offering and Corporate Bonds

Jotaki Hiroaki, Yamashita Yasuo, Takahashi Hiroshi

Abstracts of Annual Conference of Japan Society for Management Information (THE JAPAN SOCIETY FOR MANAGEMENT INFORMATION (JASMIN))  2013   262 - 265 2013

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In this research, it analyzed of Rights offerings news and a price of corporate bond. In Result, (1)the price of corporate bond of new-share undertaking company was in the tendency for CER to become minus, when ranking was BBB.(2)About the stock price of that it is in the tendency for CER to become minus when ranking is BBB,(3) prices of corporate bond of Right offerings was in the tendency of plus.

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環境規制と企業戦略に関する研究

大野文夫, 高橋大志

計測自動制御学会論文集  2012

Research paper (scientific journal), Single Work, Accepted

M&Aが債券市場に与える影響について

上瀧弘晃, 山下泰央, 高橋 大志

日本金融・証券計量・工学学会(JAFEE) ジャフィー・ジャーナル  2012

Research paper (scientific journal), Joint Work, Accepted

An Analysis of the Influence of dispersion of valuations on Financial Markets through agent-based modeling

TAKAHASHI Hiroshi

International Journal of Information Technology & Decision Making (WORLD SCIENTIFIC PUBL CO PTE LTD)  11 ( 1 ) 143 - 166 2012

Research paper (scientific journal), Single Work, Accepted,  ISSN  0219-6220

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This research analyzes the influence of dispersion of valuations on financial markets, taking several aspects of real financial market into consideration (such as financial constraints, investment strategies and so on). As a result of intensive experiments in the market, we made the following findings: (1) Dispersion of fundamentalists' valuations has little effect on the market when financial constraints are absent; (2) When financial constraints - such as short-sale constraints - are introduced, certain situations arise in which deviations from fundamental values become larger, according to the level of the dispersion of valuations; (3) A passive investment strategy, as is consistent with traditional financial theory, is valid even when the introduction of financial constraints causes market prices to deviate significantly from fundamental values. These results contribute to clarifying the mechanism of price fluctuations in financial markets and are notable from both academic and practical view points.

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リレーションシップバンキングの有効性に関する研究

錦戸幸仁, 高橋大志

計測自動制御学会論文集 (計測自動制御学会)   2012

Research paper (scientific journal), Joint Work, Accepted

An analysis of the influence of fundamental indexing on financial markets through agent-based modeling: the fundamentalist and fundamental indexing

TAKAHASHI Hiroshi

Transactions on Computational Collective Intelligence (Springer)  7430   pp.102-120 - 120 2012

Research paper (scientific journal), Single Work, Accepted,  ISSN  0302-9743

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This research analyzes the influence of indices which are employed in the asset management business on financial markets through agent-based modeling. In this analysis, I focus on a fundamental index, which has been proposed as a new benchmark for investments in place of price indices, which are currently employed in practical business affairs. As a result of intensive experiments in the market, I made the following interesting findings: (1) fundamental indexing works as effectively as a price indexing in the market when market prices reflect fundamental values
(2) improvements in forecast accuracy of fundamentalists can contribute to a decrease in the number of investors that employ fundamental indexing
(3) forecast accuracy have the same impact on both fundamental indexing and price indexing
(4) fundamental indexing contributes to market efficiency. However, I also found drawbacks to fundamental indexing, such as the risk of destabilizing markets when too many investors employ passive investment strategies using the fundamental index. These results are significant from both practical and academic viewpoints. These analyses also demonstrate the effectiveness of agent-based techniques and inverse simulation techniques for financial research. © 2012 Springer-Verlag.

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