Papers by Hiroshi Takahashi
Intelligent Decision Technologies, 2010
While the importance of financial education has increased in recent years, a technique for deepen... more While the importance of financial education has increased in recent years, a technique for deepening an understanding of finance theory is needed. In this research, we analyze learning methods for finance theory regarding investment project selection and capital structure determination using the business game technique. As a result of analysis, the participant understood theinvestment project selection method and interesting phenomena-understanding progresses regarding the method for determining the capital structure which raises capital stock value-were seen. These results show the effectiveness of the business game technique for studying finance theory.
GARCH (Generalized Autoregressive Conditional Hetero-scedasticity) is a macro level model to esti... more GARCH (Generalized Autoregressive Conditional Hetero-scedasticity) is a macro level model to estimate the volatility of financial markets. Although the model is very fundamental in the financial and economic domain, however, there have been no clear explanation about the model from the micro-level financial behaviors. This paper develops agent-based simulation models, which consists of simple agents with rational and/or non-rational decision making functionalities for investment. Using the simulation model with both rational and non-rational agents, the paper has shown that the behaviors of the non-rational agents with the characteristics of prospect theory coincide with the estimation by GARCH model.
Intelligent Techniques for Ubiquity and Optimization
This chapter describes advances of agent-based models to financial market analyses based on our r... more This chapter describes advances of agent-based models to financial market analyses based on our recent research. We have developed several agent-based models to analyze microscopic and macroscopic links between investor behaviors and price fluctuations in a financial market. The models are characterized by the methodology that analyzes the relations among micro-level decision making rules of the agents and macro-level social behaviors via computer simulations. In this chapter, we report the outline of recent results of our analysis. From the extensive analyses, we have found that (1) investors’ overconfidence behaviors plays various roles in a financial market, (2) overconfident investors emerge in a bottom-up fashion in the market, (3) they contribute to the efficient trades in the market, which adequately reflects fundamental values, (4) the passive investment strategy is valid in a realistic efficient market, however, it could have bad influences such as instability of market and...
Lecture Notes in Computer Science, 2011
This research analyzes the influence of indices which are employed in the asset management busine... more This research analyzes the influence of indices which are employed in the asset management business on financial markets through agent-based simulation. In this analysis, we focus on a fundamental index, which has been proposed as a new benchmark for investments in place of price indices, which are currently employed in practical business affairs. As a result of intensive experiments in the market, we made the following interesting findings: (1) fundamental indexing works as effectively as a price indexing in the market when market prices reflect fundamental values; (2) fundamental indexing contributes to market efficiency. However, we also found drawbacks to fundamental indexing, such as the risk of destabilizing markets when too many investors employ passive investment strategies using the fundamental index. These results are significant from both practical and academic viewpoints. These analyses also demonstrate the effectiveness of agent-based techniques for financial research.
Lecture Notes in Computer Science, 2005
Text mining, one of the emerging fields of data mining, aims at acquiring useful knowledge from t... more Text mining, one of the emerging fields of data mining, aims at acquiring useful knowledge from text data. In the asset management in finance task domain, although there exist various text data like accounting settlement or analysts’ reports, few research and development have been conducted. In this paper, we will explore the feasibility to extract valuable knowledge for asset management
This research analyzes the validity of fundamental indexing in financial markets. As a result of ... more This research analyzes the validity of fundamental indexing in financial markets. As a result of intensive experiments in the market, we made the following findings: (1) fundamental indexing works as effectively as price indexing in the market when market prices reflect fundamental values; (2) fundamental indexing contributes to market efficiency.
Transactions of the Japanese Society for Artificial Intelligence, 2011
While the importance of financial education is recognized in recent years, the technique for deep... more While the importance of financial education is recognized in recent years, the technique for deepening an understanding to pension investment management is needed. In this research, we analyze learning method of the pension investment management in consideration of liability using the business game technique. As a result of analysis, interesting phenomena-the participant understood the learning method of the pension investment management in consideration of liability-were seen. This shows the effectiveness of the business game technique to learning the pension investment management.
2006 SICE-ICASE International Joint Conference, 2006
ABSTRACT
International Journal of Computer Applications in Technology, 2010
This research analysed the impact of the disparity in forecast accuracy among investors in the fi... more This research analysed the impact of the disparity in forecast accuracy among investors in the financial markets. This analysis has found the following interesting phenomena: 1 depending on market environments, investors with good forecast accuracy do not always survive in the market 2 where the performance measurement period is short, there may be a negative influence such as deviation from the fundamental value of trading prices. These results suggest the need for examining various factors when considering the impact of information technologies such as the text mining technique on financial markets, and are of great significance from both practical and academic viewpoints.
Knowledge-Based Intelligent Information & Engineering Systems, 2008
Recently financial education has become more important because financial technology is highly dev... more Recently financial education has become more important because financial technology is highly developing and financial market is growing in importance. In this research, we apply Business Game method to financial education. Especially we focused on learning of asset allocation. As a result of intensive experiments, we found that (1) players learned not to take excessive risk through business game and
uni-koblenz.de
Abstract. We are developing agent-based financial market models. In this paper, we discuss the ef... more Abstract. We are developing agent-based financial market models. In this paper, we discuss the effects of passive investment strategies and asset fluctuation phenomena using our agent-based simulator. Main results include that (1) passive investment is usually effective ...
Agent-Based Social Systems
In this paper, using agent-based models, we discuss the effects of Passive Investment Strategies ... more In this paper, using agent-based models, we discuss the effects of Passive Investment Strategies in asset management business. Although the Passive Investment Strategy is an effective way in efficient markets, Behavioral Finance points out that markets aren’t always efficient. We build a virtual financial market which consists of a thousand investors and allows them to trade two types of assets:
Journal of artificial societies and …, 2003
In this paper, we use Agent-Based Approach to analyze how asset prices are affected by investors ... more In this paper, we use Agent-Based Approach to analyze how asset prices are affected by investors and investment systems that are based on Behavioral Finance. We build a virtual financial market that contains two types of investors: fundamentalists and non-fundamentalists. As a result of intensive experiments in the market, we find that (1) the traded price agrees with the fundamental value and the fundamentalists survive according to the principle of natural selection in the case that the market contains the same number of fundamentalists and trend predictors (investors who make trend prediction), (2) the traded price largely deviates from the fundamental value and the non-fundamentalists frequently obtain excess returns and therefore the fundamentalists are eliminated according to the principle of natural selection in the case that the proportion of trend predictors is extremely high or in the case that the investment ratio of the risk asset is restricted, and (3) the traded price ...
2008 SICE Annual Conference, 2008
ABSTRACT Recently financial education has become more important because financial technology is h... more ABSTRACT Recently financial education has become more important because financial technology is highly developing and financial market is growing in importance. In this research, we apply business game method to financial education. Especially we focused on learning of asset allocation. As a result of intensive experiments, we found that (1) players learned not to take excessive risk through business gaming and (2) they recognize the importance of risk control by our experiments. These findings indicate that our approach is valid for financial education.
The Journal of Artificial Societies and Social Simulation, 2003
In this paper, we use Agent-Based Approach to analyze how asset prices are affected by investors ... more In this paper, we use Agent-Based Approach to analyze how asset prices are affected by investors and investment systems that are based on Behavioral Finance. We build a virtual financial market that contains two types of investors: fundamentalists and non-fundamentalists. As a result of intensive experiments in the market, we find that (1) the traded price agrees with the fundamental value and the fundamentalists survive according to the principle of natural selection in the case that the market contains the same number of fundamentalists and trend predictors (investors who make trend prediction), (2) the traded price largely deviates from the fundamental value and the non-fundamentalists frequently obtain excess returns and therefore the fundamentalists are eliminated according to the principle of natural selection in the case that the proportion of trend predictors is extremely high or in the case that the investment ratio of the risk asset is restricted, and (3) the traded price ...
Electronics and Communications in Japan (Part II: Electronics), 2004
In this research the authors use an agent-based approach to analyze the effects risk management h... more In this research the authors use an agent-based approach to analyze the effects risk management has on a market overall. First, they confirm the validity of the risk management methods reported in the field of financial engineering. Then they confirm that under particular conditions, such as when there are a large number of investors who take into consideration the tendencies of other investors or when excessive risk management is used, risk management can cause market prices to deviate from standard levels.
… and Engineering Systems, Jan 1, 2007
In this paper, we analyze about the relation between stock price returns and Headline News. Headl... more In this paper, we analyze about the relation between stock price returns and Headline News. Headline News is very important sources of information in asset management, and is sent in large quantities every day. We study the effect of more than 13,000 Headline News sent from JIJI PRESS. We classify Headline News using Text Categorization and analyze the reaction of a stock price return for every type of News. From our research, we figure out following issues; 1) we make the Text Categorization System that has about 80% of classification accuracy, 2) this system can extract effective information to stock price returns from Headline News.
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Papers by Hiroshi Takahashi