{"links":{},"metadata":{"_oai":{"id":"oai:ipsj.ixsq.nii.ac.jp:00230085","sets":["6504:11436:11440"]},"path":["11440"],"owner":"44499","recid":"230085","title":["人工市場を用いた見せ玉が市場や高頻度取引に与える影響の分析"],"pubdate":{"attribute_name":"公開日","attribute_value":"2023-02-16"},"_buckets":{"deposit":"f50516b4-610c-4e1a-bdfb-92c061dcd157"},"_deposit":{"id":"230085","pid":{"type":"depid","value":"230085","revision_id":0},"owners":[44499],"status":"published","created_by":44499},"item_title":"人工市場を用いた見せ玉が市場や高頻度取引に与える影響の分析","author_link":["619013","619012","619014"],"item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"人工市場を用いた見せ玉が市場や高頻度取引に与える影響の分析"}]},"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/230085/files/IPSJ-Z85-1U-06.pdf","label":"IPSJ-Z85-1U-06.pdf"},"date":[{"dateType":"Available","dateValue":"2023-11-17"}],"format":"application/pdf","filename":"IPSJ-Z85-1U-06.pdf","filesize":[{"value":"832.3 kB"}],"mimetype":"application/pdf","accessrole":"open_date","version_id":"ce65c4d0-03c0-4201-9f39-5e1d7a20e729","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":"石松, 諒"}],"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":"見せ玉とは，実際は取引するつもりのない注文を注文板上に大量に出し，その板情報を見た投資家たちに注文の需給を誤解させて，市場価格を操作する不正な取引手法である．一方，高頻度取引（HFT）は速さを追求するために比較的単純なアルゴリズムで構築されていることが多く，見せ玉など想定されていない事態が発生すると多くの損失を出す恐れがある．そこで本研究では，人工市場を用いて，見せ玉が高頻度取引（HFT）にどのような影響を受けるか検証を試みた．その結果，見せ玉が大きくなるほど，市場のスプレッドは小さくなり，ボラティリティも小さくなることが確認できた．また，オーダーブックインバランス戦略をとるHFTは，見せ玉が大規模になるほど運用成績が悪化していくことがわかった．","subitem_description_type":"Other"}]},"item_22_biblio_info_10":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicPageEnd":"590","bibliographic_titles":[{"bibliographic_title":"第85回全国大会講演論文集"}],"bibliographicPageStart":"589","bibliographicIssueDates":{"bibliographicIssueDate":"2023-02-16","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"1","bibliographicVolumeNumber":"2023"}]},"relation_version_is_last":true,"weko_creator_id":"44499"},"created":"2025-01-19T01:29:38.107117+00:00","updated":"2025-01-19T11:17:49.585071+00:00","id":230085}