Investigation and Optimal Designing of a Price Variation Limit, a Short Sell Regulation and an Up-Tick Rule using by Artificial Market Simulations

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  • Mizuta Takanobu
    SPARX Asset Management Co. Ltd. & School of Engineering, The University of Tokyo
  • Izumi Kiyoshi
    School of Engineering, The University of Tokyo & CREST, JST
  • Yagi Isao
    Faculty of Information Technology, Kanagawa Institute of Technology
  • Yoshimura Shinobu
    School of Engineering, The University of Tokyo

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Other Title
  • 人工市場を用いた値幅制限・空売り規制・アップティックルールの検証と最適な制度の設計
  • ジンコウ シジョウ オ モチイタ ネハバ セイゲン ・ カラウリ キセイ ・ アップティックルール ノ ケンショウ ト サイテキ ナ セイド ノ セッケイ

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We built an artificial market model and compared effects of price variation limits, short sell regulations and up-tick rules. In the case without the regulations, the price fell to below a fundamental value when economic bubble bursts occurred. On the other hand, in the case with the regulations, this over-shooting did not occur and the market was more effective. However, the short sell regulation and the up-tick rule caused the trading prices to be higher than the fundamental value. To summarize these points, the price variation limits have the potential to make the market more effective. We also surveyed an adequate limitation price range and an adequate limitation time span for the price variation limit and found a parameters' condition of the price variation limit to prevent the over-shoots.

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