論文 - 高橋　大志

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

高橋 大志

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

研究論文（学術雑誌）, 単著, 査読有り,  ISSN  0302-9743

　概要を見る

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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Analyzing the Validity of Passive Investment Strategies Employing Fundamental Indices through Agent-Based Simulation

Hiroshi Takahashi, Satoru Takahashi, Takao Terano

AGENT AND MULTI-AGENT SYSTEMS: TECHNOLOGIES AND APPLICATIONS （SPRINGER-VERLAG BERLIN）  6682   180 - 189 2011年

査読有り,  ISSN  0302-9743

　概要を見る

This research analyzes the influence of indices which are employed in the asset management business on financial markets through agent-based simulation. In this analysis, we 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, we 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) fundamental indexing contributes to market efficiency. However, we 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 for financial research.

M&A発表が社債スプレッドと株価に与える影響について（2011）

上瀧 弘晃, 山下 泰央, 高橋 大志

日本社会情報学会全国大会研究発表論文集 （日本社会情報学会）  26   141 - 144 2011年

　概要を見る

This article analyzes the impacts of mergers and acquisitions (M&A) on financial markets. As a result of intensive analysis, we have concluded that (1) dynamics of credit spread of companies which purchase another company are different depending on means for the purchase (cash or stock), (2) the differences become larger when financial markets are unstable, (3) problems of wealth transfer could arise under certain conditions, (4) differences in takeover premium could contribute to differences in dynamics of credit spread and stock prices. These results are significant from both practical and academic points of view.

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Analyzing the influence of fundamental indexing through inverse simulation analysis

Hiroshi Takahashi, Satoru Takahashi, Takao Terano

Proceedings of the SICE Annual Conference （Society of Instrument and Control Engineers (SICE)）     514 - 515 2011年

　概要を見る

This research analyzes the validity of fundamental indexing in financial markets. As a result of intensive experiments in the market, we made the following findings: (1) fundamental indexing works as effectively as price indexing in the market when market prices reflect fundamental values
(2) fundamental indexing contributes to market efficiency. © 2011 SICE.

An Analysis of the Influence of Fundamental Values' Estimation Accuracy on Financial Markets

高橋 大志

Journal of Probability and Statistics 2010 2010年

研究論文（学術雑誌）, 単著, 査読有り,  ISSN  1687-952X

　概要を見る

This research analyzed the influence of the differences in the forecast accuracy of fundamental values on the financial market. As a result of intensive experiments in the market, we made the following interesting findings: (1) improvements in forecast accuracy of fundamentalists can contribute to an increase in the number of fundamentalists
(2) certain situations might occur, according to the level of forecast accuracy of fundamentalists, in which fundamentalists and passive management coexist, or in which fundamentalists die out of the market, and furthermore
(3) where a variety of investors exist in the market, improvements in the forecast accuracy could increase the number of fundamentalists more than the number of investors that employ passive investment strategy. These results contribute to clarifying the mechanism of price fluctuations in financial markets and also indicate one of the factors for the low ratio of passive investors in asset management business. Copyright © 2010 Hiroshi Takahashi.

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Clarification of the Price Fluctuation Mechanism in Financial Markets: Disparity in Forecast Accuracy among Investors and Asset Price Fluctuations

高橋 大志

International Journal of Computer Applications in Technology 38 （ 4 ） 250-258 - 258 2010年

研究論文（学術雑誌）, 単著, 査読有り,  ISSN  0952-8091

　概要を見る

This research analysed the impact of the disparity in forecast accuracy among investors in the financial markets. This analysis has found the following interesting phenomena: 1 depending on market environments, investors with good forecast accuracy do not always survive in the market 2 where the performance measurement period is short, there may be a negative influence such as deviation from the fundamental value of trading prices. These results suggest the need for examining various factors when considering the impact of information technologies such as the text mining technique on financial markets, and are of great significance from both practical and academic viewpoints. Copyright © 2010 Inderscience Enterprises Ltd.

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ビジネスゲームによる債務を考慮した年金資産運用の学習

山下 泰央, 高橋 大志, 寺野 隆雄

人工知能学会論文誌 （The Japanese Society for Artificial Intelligence）  325 （ 1 ） 233 - + 2010年

査読有り,  ISSN  1860-949X

　概要を見る

While the importance of financial education is recognized in recent years, the technique for deepening an understanding to pension investment management is needed. In this research, we analyze learning method of the pension investment management in consideration of liability using the business game technique. As a result of analysis, interesting phenomena -- the participant understood the learning method of the pension investment management in consideration of liability -- were seen. This shows the effectiveness of the business game technique to learning the pension investment management.

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Ｕ－Ｍａｒｔシステムを用いた先物取引き最良執行戦略の探索

陳 章龍, 高橋 大志, 山田 隆志, 吉川 厚, 寺野 隆雄

人工知能学会全国大会論文集 （一般社団法人 人工知能学会）  2010 （ 0 ） 3H2OS12b1 - 3H2OS12b1 2010年

　概要を見る

<p>投資家は取引を行う過程で執行コストを負担する.投資家は発注量や発注のタイミングを変えることによって，間接的なコストを最小化するような執行戦略を考える必要がある.しかし，現実の市場データに基づく数理的な手法では困難である.そこで，本研究においては， 人工市場シミュレータU-Martを用いて最良執行戦略の探索を行う．</p>

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Agent-based modeling bridges theory of behavioral finance and financial markets

Hiroshi Takahashi, Takao Terano

Multi-Agent Applications with Evolutionary Computation and Biologically Inspired Technologies: Intelligent Techniques for Ubiquity and Optimization （IGI Global）     134 - 154 2010年

査読有り

　概要を見る

This chapter describes advances of agent-based models to financial market analyses based on our recent research. We have developed several agent-based models to analyze microscopic and macroscopic links between investor behaviors and price fluctuations in a financial market. The models are characterized by the methodology that analyzes the relations among micro-level decision making rules of the agents and macro-level social behaviors via computer simulations. In this chapter, we report the outline of recent results of our analysis. From the extensive analyses, we have found that (1) investors' overconfidence behaviors plays various roles in a financial market, (2) overconfident investors emerge in a bottom-up fashion in the market, (3) they contribute to the efficient trades in the market, which adequately reflects fundamental values, (4) the passive investment strategy is valid in a realistic efficient market, however, it could have bad influences such as instability of market and inadequate asset pricing deviations, and (5) under certain assumptions, the passive investment strategy and active investment strategy could coexist in a financial market. © 2011, IGI Global.

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ビジネスゲームによる投資と資本構成選択問題の学習

山下泰央，高橋大志，寺野隆雄

電子情報通信学会和文論文誌 （一般社団法人電子情報通信学会）  J92D （ 11 ） pp.1911-1918 - 1918 2009年11月

研究論文（学術雑誌）, 共著, 査読有り,  ISSN  1880-4535

　概要を見る

近年,金融教育の重要性が高まる中,ファイナンス理論の理解を深めるための手法が必要とされている.本研究では,ビジネスゲーム手法を利用した投資プロジェクト選択と資本構成決定に関するファイナンス理論の学習を目的とした分析を実施した.分析の結果,参加者は投資プロジェクト選択法を理解し,株主資本価値を高める資本構成の決定法について理解が進むなど,興味深い現象が見られた.これらの結果は,ファイナンス理論の学習へのビジネスゲーム手法の有効性を示すものである.

Analysis of the effect of headline news in financial market through text categorisation

Satoru Takahashi, Hiroshi Takahashi, Kazuhiko Tsuda

International Journal of Computer Applications in Technology 35 （ 2-4 ） 204 - 209 2009年06月

査読有り,  ISSN  0952-8091

　概要を見る

In this paper, we analyse the relation between stock-price returns and Headline News. Headline News is a very important source of information in asset management and is sent in large quantities every day. We study the effect of more than 13,000 Headline News sent from Jiji Press. We classify Headline News into three types using text categorisation and analyse the reaction of a stock-price return to each types of news. From our research, we figure out following issues: (1) we make the text categorisation system that has about 80% of classification accuracy, (2) this system can extract effective information to stock-price returns from Headline News and (3) such information is more effective to the small firms. Copyright © 2009 Inderscience Enterprises Ltd.

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エージェントシミュレーションが行動ファイナンス理論と実市場をつなぐ

高橋大志，寺野隆雄

人工知能学会誌 （人工知能学会誌）  24 （ 3 ） pp.392-399 - 399 2009年05月

研究論文（学術雑誌）, 共著, 査読有り,  ISSN  0912-8085

Analysis of the effect of Headline News in Financial Market through Text Categorization

Satoru TAKAHASHI, Hiroshi Takahashi, Kazuhiko TSUDA

Int. J. of Computer Applications in Technology 35 （ 2/3/4 ） pp. 204 – 209 2009年

研究論文（学術雑誌）, 共著, 査読有り

ビジネスゲーム手法による投資教育に関する研究：投資教育システムと応用事例

山下泰央、高橋 大志

統計数理研究所共同研究リポート 205   pp. 1-8 2009年

研究論文（大学，研究機関等紀要）, 共著

Learning a Selection Problem of Investment Projects and Capital Structure through Business Game

Yasuo Yamashita, Hiroshi Takahashi, Takao Terano

NEW ADVANCES IN INTELLIGENT DECISION TECHNOLOGIES （SPRINGER）  199 （ 2 ） 41 - + 2009年

査読有り,  ISSN  1860-949X

　概要を見る

While the importance of financial education increases in recent years, the technique for deepening an understanding of finance theory is needed. In this research, we analyize learning method of the finance theory about the investment project selection and capital structure determination using the business game technique. As a result of analysis, the participant understood the investment project selection method and interesting phenomena - an understanding progresses about the method of determining the capital structure which raises capital stock value - were seen. These results show the effectiveness of the business game technique to study of finance theory.

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ヘッドラインニュースがクレジット市場に与える影響について

上瀧 弘晃, 高橋 悟, 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）  2009   43 - 43 2009年

　概要を見る

本稿は，投資における重要な情報源のひとつであるヘッドラインニュースがクレジット市場に与える影響について分析を行ったものである．膨大な量のテキスト情報であるヘッドラインニュースを解析するために，本稿では，自然言語処理の分野において応用されているテキスト自動分類アルゴリズムを用いた．はじめに，ヘッドラインニュースの自動分類アルゴリズムを構築し，ヘッドラインニュースから信用スプレッド変動と関連性の深い情報の抽出を行った．分析の結果，(1) 自動分類アルゴリズムにより分類精度が約80%のヘッドラインニュースのアルゴリズムを構築可能であること，(2)ヘッドラインニュースから抽出した情報は有効であること，(3)ニュース発信前後で社債，ＣＤＳ，株式間のリターンに違いが見られ，特に社債はニュース発表後に反応する傾向にあること，等の結果を得た.

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投資と資本構成選択問題のビジネスゲームによる学習

山下 泰央, 高橋 大志, 寺野 隆雄

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）  2009   23 - 23 2009年

　概要を見る

近年，金融教育の重要性が高まる中，ファイナンス理論の理解を深めるための手法が必要とされている．本研究では，ビジネスゲーム手法を利用した投資プロジェクト選択と資本構成決定に関するファイナンス理論の学習を目的とした分析を実施した．分析の結果，参加者は投資プロジェクト選択法を理解し，株主資本価値を高める資本構成の決定法について理解が進むなど，興味深い現象がみられた．これらの結果は，ファイナンス理論の学習へのビジネスゲーム手法の有効性を示すものである．

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金融市場における投資家行動と価格変動に関する研究

高橋 大志

岡山大学経済学部教育研究等の状況の公表に係る記者発表 2008年

単著

ビジネスゲームによるファイナンスへの接近：金融資産への投資の意思決定の学習

山下泰央，高橋大志，寺野隆雄

コンピュータソフトウェア 2008年

研究論文（学術雑誌）, 共著, 査読有り

証券投資におけるインデックス運用の有効性について

高橋 大志

岡山大学経済学会雑誌 （岡山大学経済学会）  40 （ 2 ） 1-21 - 167 2008年

研究論文（大学，研究機関等紀要）, 単著,  ISSN  0386-3069