Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation

  title={Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation},
  author={Isao Yagi and Shunya Maruyama and Takanobu Mizuta},
A leveraged ETF is a fund aimed at achieving a rate of return several times greater than that of the underlying asset such as Nikkei 225 futures. Recently, it has been suggested that rebalancing trades of a leveraged ETF may destabilize the financial markets. An empirical study using an agent-based simulation indicated that a rebalancing trade strategy could affect the price formation of an underlying asset market. However, no leveraged ETF trading method for suppressing the increase in… 

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    2018 5th International Conference on Behavioral, Economic, and Socio-Cultural Computing (BESC)
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