{"metadata":{"_oai":{"id":"oai:ipsj.ixsq.nii.ac.jp:00235918","sets":["6504:11678:11689"]},"path":["11689"],"owner":"44499","recid":"235918","title":["市場価格急変時におけるオーダーブックインバランス戦略型アルゴリズムエージェントのパフォーマンスの調査"],"pubdate":{"attribute_name":"公開日","attribute_value":"2024-03-01"},"_buckets":{"deposit":"e027d268-6b9e-48fa-8bcd-da56e4d89adf"},"_deposit":{"id":"235918","pid":{"type":"depid","value":"235918","revision_id":0},"owners":[44499],"status":"published","created_by":44499},"item_title":"市場価格急変時におけるオーダーブックインバランス戦略型アルゴリズムエージェントのパフォーマンスの調査","author_link":["644720","644719","644718","644721"],"item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"市場価格急変時におけるオーダーブックインバランス戦略型アルゴリズムエージェントのパフォーマンスの調査"}]},"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":"2024-03-01","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":"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/235918/files/IPSJ-Z86-7N-01.pdf","label":"IPSJ-Z86-7N-01.pdf"},"date":[{"dateType":"Available","dateValue":"2024-07-03"}],"format":"application/pdf","filename":"IPSJ-Z86-7N-01.pdf","filesize":[{"value":"716.2 kB"}],"mimetype":"application/pdf","accessrole":"open_date","version_id":"183185e9-c93e-4078-9ffb-b09e36f61106","displaytype":"detail","licensetype":"license_note","license_note":"Copyright (c) 2024 by the Information Processing Society of Japan"}]},"item_22_creator_5":{"attribute_name":"著者名","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"友弘, 尚之"}],"nameIdentifiers":[{}]},{"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":"金融市場で大口の注文を出す機関投資家は，市場価格を不安定化させないよう機械を利用して小口で断続的に注文を出す．この機械のことを執行アルゴリズムという．一方，金融市場の最良気配値付近における注文の偏り（オーダーブックインバランス：OBI)とリターンには正の相関があり，この特性を生かした戦略を採用する投資家もいる．そこで本研究では，OBIを考慮した執行アルゴリズムモデル（OAA）を提案し，ファンダメンタル価格急変や誤発注による市場価格急騰落時のOAAと従来型執行アルゴリズム（AA）のパフォーマンスの違いについて調査した．その結果，市場価格急騰落の原因が異なると，OAAとAAのパフォーマンスの優劣は異なることがわかった．","subitem_description_type":"Other"}]},"item_22_biblio_info_10":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicPageEnd":"146","bibliographic_titles":[{"bibliographic_title":"第86回全国大会講演論文集"}],"bibliographicPageStart":"145","bibliographicIssueDates":{"bibliographicIssueDate":"2024-03-01","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"1","bibliographicVolumeNumber":"2024"}]},"relation_version_is_last":true,"weko_creator_id":"44499"},"id":235918,"updated":"2025-01-19T09:28:01.002063+00:00","links":{},"created":"2025-01-19T01:37:41.087261+00:00"}