Isao Yagi

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Since the subprime mortgage crisis in the United Sates, stock markets around the world have crashed, revealing their instability. To stem the decline in stock prices, short-selling regulations have been implemented in many markets. However, their effectiveness remains unclear. In this paper, we discussed the effectiveness of short-selling regulation which(More)
We built an artificial market model and investigated the impact of large erroneous orders on price formations. Comparing the case of consented large erroneous orders in the short term with that of continuous small erroneous orders in the long term, if amounts of orders are the same, we found that the orders induced almost the same price fall range. We also(More)
Deterioration in the fundamentals of firms due to scandals or disasters causes declines in their stock prices. We empirically know that stock prices rebound after they largely fall. In this paper, this trend is called the reversal phenomenon. There has been some preceding research on this issue; however, little has been explained about market mechanisms(More)
SUMMARY This paper proposes an event-based transition system called A-LTS. An A-LTS is a simple system consisting of two agents, a basic program and a monitor. The monitor observes the behavior of the basic program and if the behavior matches some pre-defined pattern, then the monitor interrupts the execution of the basic program and possibly triggers the(More)
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