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18th Annual Japan International Banking & Securities System Forum 2017

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18th Annual Japan International Banking & Securities System Forum 2017
~ Prospects for Development of Information Technology in the Financial Market ~
Date February 28, 2016 13:00~20:00 Royal Park Hotel, Tokyo, JAPAN
Panel Discussion 2 Financial Markets and AI (Artificial Intelligence)
Presentation by Dr. Takanobu Mizuta, one of panelists

Published in: Economy & Finance
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18th Annual Japan International Banking & Securities System Forum 2017

  1. 1. Agent (Investor) Order Price Mechanism (Exchange) Determination market price Artificial Market Model (Agent Based Model) 1 SPARX Asset Management Co., Ltd. Takanobu Mizuta http://www.mizutatakanobu.com/ Note that the opinions contained herein are solely those of the authors and do not necessarily reflect those of SPARX Asset Management Co., Ltd. Agents (Artificial Investors) + Price Mechanism (Artificial Exchange) Complete Computer Simulation needing NO Empirical Data Virtual and Artificial financial Market built on Computers
  2. 2. to investigate situations that have never occurred in actual financial markets → No empirical data to isolate the direct effect of changing regulations to price formation → So many factors cause price formation in actual markets to investigate situations that have never occurred in actual financial markets → No empirical data to isolate the direct effect of changing regulations to price formation → So many factors cause price formation in actual markets Difficulty of Empirical Study 2 Discussion for regulations and rules in financial markets Artificial Market Model  can isolate the pure contribution of the changes to the price formation  can treat the changes that have never been employed
  3. 3. what happened in the past what will happen in the future Empirical Study Strong point of Artificial Market Model 3 Find “possible” changes Columbus’ Egg Columbus’ Egg Contribute to discussion by finding “possible” side effects Contribute to discussion by finding “possible” side effects Artificial Market Model
  4. 4. JPX Working Papers http://www.jpx.co.jp/english/corporate/research-study/working-paper/ 4 Many studies on Artificial Market Model
  5. 5. The Japanese Society for Artificial Intelligence, Special Interest Group on Financial Informatics http://sigfin.org/ 5 Many studies on Artificial Market Model are presented Sorry for no English web page
  6. 6. Contributions 6 Future Discussion Reduction of Tick Size, Up-Tick Rule, Price Variation Limit, Dark Pool, Frequently Batch Auction, Contribution of HFTs for share competition among Exchanges, Suitable Latency of Exchange System, VaR Shock, Chain Bankruptcy of Banks, Regulations and Rules to prevent Financial Crush Monetary Policy, Monitoring Financial Systems * Mizuta (2016) SSRN Working Paper Series http://ssrn.com/abstract=2710495 * Battiston et al. (2016) SCIENCE 19 Feb 2016, Vol. 351, Issue 6275, pp. 818-819. http://science.sciencemag.org/content/351/6275/818 My Expectation for AI Except Artificial Market Screening Insider Trades and Manipulations of Stock Price; AI have already contributed to arrest Money Laundering and Unauthorized using Credit Cards.

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