{"created":"2025-01-19T01:29:38.008194+00:00","updated":"2025-01-19T11:17:50.590553+00:00","metadata":{"_oai":{"id":"oai:ipsj.ixsq.nii.ac.jp:00230084","sets":["6504:11436:11440"]},"path":["11440"],"owner":"44499","recid":"230084","title":["人工市場を用いたオーダーブックインバランスを考慮した執行アルゴリズムが市場に与える影響分析"],"pubdate":{"attribute_name":"公開日","attribute_value":"2023-02-16"},"_buckets":{"deposit":"bb4c2f08-8020-44ef-8568-2c3936385fcb"},"_deposit":{"id":"230084","pid":{"type":"depid","value":"230084","revision_id":0},"owners":[44499],"status":"published","created_by":44499},"item_title":"人工市場を用いたオーダーブックインバランスを考慮した執行アルゴリズムが市場に与える影響分析","author_link":["619011","619010","619009"],"item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"人工市場を用いたオーダーブックインバランスを考慮した執行アルゴリズムが市場に与える影響分析"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"人工知能と認知科学","subitem_subject_scheme":"Other"}]},"item_type_id":"22","publish_date":"2023-02-16","item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_22_text_3":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"工学院大"},{"subitem_text_value":"スパークス・アセット・マネジメント株式会社"},{"subitem_text_value":"工学院大"}]},"item_publisher":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"情報処理学会","subitem_publisher_language":"ja"}]},"publish_status":"0","weko_shared_id":-1,"item_file_price":{"attribute_name":"Billing file","attribute_type":"file","attribute_value_mlt":[{"url":{"url":"https://ipsj.ixsq.nii.ac.jp/record/230084/files/IPSJ-Z85-1U-05.pdf","label":"IPSJ-Z85-1U-05.pdf"},"date":[{"dateType":"Available","dateValue":"2023-11-17"}],"format":"application/pdf","filename":"IPSJ-Z85-1U-05.pdf","filesize":[{"value":"1.1 MB"}],"mimetype":"application/pdf","accessrole":"open_date","version_id":"35ae1568-743b-4cbd-93f1-bc433fb360df","displaytype":"detail","licensetype":"license_note","license_note":"Copyright (c) 2023 by the Information Processing Society of Japan"}]},"item_22_creator_5":{"attribute_name":"著者名","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"遠藤, 修斗"}],"nameIdentifiers":[{}]},{"creatorNames":[{"creatorName":"水田, 孝信"}],"nameIdentifiers":[{}]},{"creatorNames":[{"creatorName":"八木, 勲"}],"nameIdentifiers":[{}]}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourceuri":"http://purl.org/coar/resource_type/c_5794","resourcetype":"conference paper"}]},"item_22_source_id_9":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AN00349328","subitem_source_identifier_type":"NCID"}]},"item_22_description_7":{"attribute_name":"論文抄録","attribute_value_mlt":[{"subitem_description":"株式市場における最良気配値付近の売り注文数と買い注文数間の偏りはオーダーブックインバランス(OBI)と呼ばれている．このOBIとリターンの間には正の相関があることが知られているため数多くの投資戦略でこの特性が利用されている．一方，投資戦略の1つに市場価格形成を歪めないよう大量の注文を自動的に分散して発注する執行アルゴリズムがある．そこで本研究では人工市場上にOBIを考慮した執行アルゴリズムをモデル化し，本モデルが市場にどのような影響を与えるのかを調査した．その結果，従来の執行アルゴリズムよりも市場価格に与える影響が小さくなることがわかった．一方で，OBI型執行アルゴリズムは発注量が少なくなるため，市場の流動性（出来高）は低下傾向にあることがわかった．","subitem_description_type":"Other"}]},"item_22_biblio_info_10":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicPageEnd":"588","bibliographic_titles":[{"bibliographic_title":"第85回全国大会講演論文集"}],"bibliographicPageStart":"587","bibliographicIssueDates":{"bibliographicIssueDate":"2023-02-16","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"1","bibliographicVolumeNumber":"2023"}]},"relation_version_is_last":true,"weko_creator_id":"44499"},"id":230084,"links":{}}