研究者詳細 - 高橋　大志

論文 - 高橋　大志

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高橋大志

計測と制御（公益社団法人計測自動制御学会） 55 （ 1 ） 41 - 46 2016年

研究論文（学術雑誌）, 査読有り, ISSN 0453-4662

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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年

査読有り, ISSN 0730-3157

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

高橋大志

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

研究論文（国際会議プロシーディングス）, 単著, ISSN 2190-3018

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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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─

高橋大志

人工知能 30 （ 4 ） 437 - 444 2015年

研究論文（学術雑誌）, 単著

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

高橋大志

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

単著, ISSN 2194-5357

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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Analyzing the validity of passive investment strategies under financial constraints

高橋大志

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

研究論文（国際会議プロシーディングス）, 単著, 査読有り

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

高橋大志

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

研究論文（学術雑誌）, 単著, 査読有り, ISSN 1327-2314

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

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(to appear) 2013年

研究論文（学術雑誌）, 共著, 査読有り

投資家心理とマーケット

高橋大志

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

研究論文（その他学術会議資料等）, 単著

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

高橋大志

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

研究論文（学術雑誌）, 単著, 査読有り

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年

研究論文（学術雑誌）, 共著

自社株買いと社債市場の関係について

上瀧弘晃，山下泰央，高橋大志

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年

研究論文（学術雑誌）, 共著, 査読有り, ISSN 0287-7929

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年

ISSN 1740-8865

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年

査読有り, ISSN 1740-8865

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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第三者割当増資発表と社債市場の関係について

上瀧弘晃, 山下泰央, 高橋大志

経営情報学会全国研究発表大会要旨集（一般社団法人経営情報学会） 2013 262 - 265 2013年

近年，経営判断の情報に対する市場の関心は高まっている。本研究では，第三者割当増資の発表情報に着目し，同情報が社債価格に及ぼす影響について分析を行った．分析の結果，(1)新株引受企業の社債価格は，格付がBBBの場合，累積超過リターン(CER)のマイナスの水準が大きくなる傾向にあること，(2)新株引受企業の株価については，格付がBBBの場合，CERがマイナスとなる傾向にあることを見出した．新株発行企業を対象とした分析では，(3)社債価格は，全サンプルにおいてプラスのCERとなる傾向にあることを見出した．

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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年

研究論文（学術雑誌）, 単著, 査読有り

ヘッドラインニュースが債券市場に与える影響に関する分析

山下泰央，上瀧弘晃，高橋大志

計測自動制御学会論文集 2012年

研究論文（学術雑誌）, 共著, 査読有り

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年

研究論文（学術雑誌）, 共著, 査読有り

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

高橋大志

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

研究論文（学術雑誌）, 単著, 査読有り, ISSN 0219-6220

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年

研究論文（学術雑誌）, 共著, 査読有り

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高橋 大志

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高橋　大志

論文 - 高橋　大志