{"created":"2025-01-19T01:37:41.181010+00:00","updated":"2025-01-19T09:27:59.584085+00:00","metadata":{"_oai":{"id":"oai:ipsj.ixsq.nii.ac.jp:00235919","sets":["6504:11678:11689"]},"path":["11689"],"owner":"44499","recid":"235919","title":["人工市場を用いたディレクショナル戦略を考慮したHFTの性能調査"],"pubdate":{"attribute_name":"公開日","attribute_value":"2024-03-01"},"_buckets":{"deposit":"12807dd1-95a6-48f1-a291-0d9added6231"},"_deposit":{"id":"235919","pid":{"type":"depid","value":"235919","revision_id":0},"owners":[44499],"status":"published","created_by":44499},"item_title":"人工市場を用いたディレクショナル戦略を考慮したHFTの性能調査","author_link":["644725","644724","644722","644723"],"item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"人工市場を用いたディレクショナル戦略を考慮したHFTの性能調査"}]},"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"},{"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/235919/files/IPSJ-Z86-7N-02.pdf","label":"IPSJ-Z86-7N-02.pdf"},"date":[{"dateType":"Available","dateValue":"2024-07-03"}],"format":"application/pdf","filename":"IPSJ-Z86-7N-02.pdf","filesize":[{"value":"256.3 kB"}],"mimetype":"application/pdf","accessrole":"open_date","version_id":"af676a91-843f-4725-a8ea-c376d40ac8ef","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":"早瀬, 竜希"}],"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":"近年高頻度取引(hft)において従来のマーケットメイク戦略に代わってディレクショナル戦略が主流となりつつある。ディレクショナル戦略としてファンダメンタル戦略，テクニカル戦略，オーダーブックインバランス戦略が考えられる。そこで本研究では人工市場を用いて，これら3つのディレクショナル戦略を考慮したHFTをモデル化し，それらのパフォーマンスの調査を行った。その結果，従来のマーケットメイク戦略型HFTと比較してどのディレクショナル戦略もパフォーマンスが悪くなり，パフォーマンスを良くしようとすると取引量が低下するためHFTに適さない戦略になることが示唆された。","subitem_description_type":"Other"}]},"item_22_biblio_info_10":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicPageEnd":"148","bibliographic_titles":[{"bibliographic_title":"第86回全国大会講演論文集"}],"bibliographicPageStart":"147","bibliographicIssueDates":{"bibliographicIssueDate":"2024-03-01","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"1","bibliographicVolumeNumber":"2024"}]},"relation_version_is_last":true,"weko_creator_id":"44499"},"id":235919,"links":{}}