028-03

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• 028-03 へ行く。

[[第28回研究会>028]]

* 株式市場の流動性と投資家の効用の関係について: 注文間の相互作用を導入して [#vfeef28b]

** 著者 [#td8ef6cc]
南雲将太, 一木信吾, 島田尚(東京大学)

**概要 [#m81c81eb]
In stock markets, it is often argued that increased liquidity contributes to the public benefit of the market as a whole, but it is not self-evident. In this study, we analyze the impact of increasing market liquidity on traders' utility mathematically. We calculate an exact solution of an average expected utility for one trader by using a simple model in which we assume orders follow independent uniform distributions. However, even when we assume a more complicated model where orders interact with each other, we obtain the result consistent with the first simple model in the limit of infinite number of orders. Also, we define a balance price on the order book, and we analyze the behavior of the balance price.

**キーワード [#d5c3dade]
econophysics, artificial market, agent simulation, auction theory, order book, liquidity, volatility

**論文 [#b3098ea0]

//(3月9日以降に公表いたします)
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