論文

This article describes the influence of risk management on financial markets. Institutional investors, such as pension funds, are legally required to follow a duty of care. Implementing adequate risk management is regarded as a central part of institutional investors' legal responsibilities and considered to be effective in terms of limiting investors' losses. The most prevalent risk management method is known as Value at Risk (VaR) and this is the focal point of my analysis. As a result of intensive agent-based modeling and experimentation, I have concluded that: (1) market prices could deviate from fundamental values when risk management criteria are too strict (2) the larger the disparity of investors' estimations of stock prices becomes, the larger the tendency of deviation from fundamental values (3) the same tendency can be observed under market conditions where heterogeneous investors trade. These results suggest that risk management which is required by law as a duty of care could contribute to market inefficiencies. If so, this is significant from both practical and academic points of view. Furthermore, I believe this paper proves the efficacy of agent-based modeling in analyzing the impact of certain regulations and laws on financial markets under realistic market conditions. © 2013-IOS Press and the authors.

This research analyzes the influence of indices which are employed in the asset management business on financial markets through agent-based modeling. In this analysis, I 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, I 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) improvements in forecast accuracy of fundamentalists can contribute to a decrease in the number of investors that employ fundamental indexing (3) forecast accuracy have the same impact on both fundamental indexing and price indexing (4) fundamental indexing contributes to market efficiency. However, I 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 and inverse simulation techniques for financial research. © 2012 Springer-Verlag.

This research analyzes the influence of dispersion of valuations on financial markets, taking several aspects of real financial market into consideration (such as financial constraints, investment strategies and so on). As a result of intensive experiments in the market, we made the following findings: (1) Dispersion of fundamentalists' valuations has little effect on the market when financial constraints are absent; (2) When financial constraints - such as short-sale constraints - are introduced, certain situations arise in which deviations from fundamental values become larger, according to the level of the dispersion of valuations; (3) A passive investment strategy, as is consistent with traditional financial theory, is valid even when the introduction of financial constraints causes market prices to deviate significantly from fundamental values. These results contribute to clarifying the mechanism of price fluctuations in financial markets and are notable from both academic and practical view points.

This research analyzed the influence of the differences in the forecast accuracy of fundamental values on the financial market. As a result of intensive experiments in the market, we made the following interesting findings: (1) improvements in forecast accuracy of fundamentalists can contribute to an increase in the number of fundamentalists (2) certain situations might occur, according to the level of forecast accuracy of fundamentalists, in which fundamentalists and passive management coexist, or in which fundamentalists die out of the market, and furthermore (3) where a variety of investors exist in the market, improvements in the forecast accuracy could increase the number of fundamentalists more than the number of investors that employ passive investment strategy. These results contribute to clarifying the mechanism of price fluctuations in financial markets and also indicate one of the factors for the low ratio of passive investors in asset management business. Copyright © 2010 Hiroshi Takahashi.

This paper analyses the influence of dispersion of fundamentalists' valuations on the effectiveness of passive investment strategy under financial constraints. As a result of intensive experiment, the following results were confirmed: (a) the degree of fundamental values' estimation accuracy affects the validity of passive investment strategy, (b) upper and lower constraints on tilting lead to the same results. These results are significant from both practical and academic view points. Copyright © 2013 Inderscience Enterprises Ltd.

This research analysed the relationship between headlines in the news and the stock market in Japan through text mining technology. As a result of intensive analyses, we found a significant relationship between the stock index return changes and the negative (or positive) news classified by keywords. At the same time, we also found that the measure of constructing a keyword list has a significant impact on the performance of this classification. Copyright © 2013 Inderscience Enterprises Ltd.

In this paper, we analyse the relation between stock-price returns and Headline News. Headline News is a very important source 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 into three types using text categorisation and analyse the reaction of a stock-price return to each types of news. From our research, we figure out following issues: (1) we make the text categorisation system that has about 80% of classification accuracy, (2) this system can extract effective information to stock-price returns from Headline News and (3) such information is more effective to the small firms. Copyright © 2009 Inderscience Enterprises Ltd.

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. (C) 2004 Wiley Periodicals, Inc.

In this research, we employ Agent-Based Model to analyze how asset prices are affected by investors' Behavior. This analysis places focus on the influence of overconfident investors on financial market. As a result of intensive analysis, we find that overconfident investors are generated in a bottom-up fashion in the market. Furthermore, it has also been found that overconfident investors have the ability to contribute to market efficiency.

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.

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 inadequate asset pricing deviations, and (5) under certain assumptions, the passive investment strategy and active investment strategy could coexist in a financial market. © 2011, IGI Global.

This chapter develops an agent-based model to analyze microscopic and macroscopic links between investor behaviors and price fluctuations in a financial market. This analysis focusses on the effects of passive investment strategy in a financial market. From the extensive analyses, we have found that (1) passive investment strategy is valid in a realistic efficient market, however, it could have bad influences such as market instability and inadequate asset pricing deviations, and (2) under certain assumptions, passive investment strategy and active investment strategy could coexist in a financial market. © 2008, IGI Global.

As natural language processing technology advances, its application to finance is growing. We focus on technological diversification resulting from R&D activities, one of the concerns for firms requiring efficient business management. We analyze the relationship between technological diversification and enterprise value using text information of patents and examine text information's usefulness in corporate finance. Specifically, we created a firm's technological diversification index from the text information in the patents and the firm's excess value from its financial data and analyzed the relationship between them. We analyzed Japanese firms that have been listed on the First Section of the Tokyo Stock Exchange and have applied for patents during the period 2002–2015. As a result, we found that (1) the spread of technology in multiple ways could impair enterprise value, and (2) the use of text information can be more valuable than the use of specific standards indexes such as the International Patent Classification (IPC). This study shows interesting results on the relationship between technological diversification and enterprise value and implies the applicability of unstructured data to finance research. A detailed analysis is for further study.

This study examines the effectiveness of a community-based gas pricing plan. The community- based pricing system determines rates based on the overall usage within a community, making cooperation among community members a crucial element. Through agent-based modeling, this research investigates the potential for energy consumption reduction under a community-based gas pricing system. The paper specifically explores the effectiveness of this approach when there is a high degree of similarity in attributes within the community.

News is an immediate source of information. However, it is difficult to obtain information on the trends in each business unit of a company from individual news items. This study attempts to obtain information on each business unit of a company through news analysis using BERTopic by targeting multiple companies that hold similar business domains. The validity of the analysis results was verified by comparing the news analysis results with the securities reports published by the companies. As a result of the analysis, we found that (1) it is possible to follow the trends of each specific business unit in a company through news data analysis, and (2) news data contains timely information on corporate trends and product strategies, compared to securities reports. This research presents a novel analytical approach utilizing natural language processing techniques within the finance sector, highlighting a study with substantial potential for future advancements.

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. © 2011 SICE.

Various methodologies have been proposed for extracting knowledge from the output results and logs of social simulations. Such analysis methods are important not only for model developers and analysts, but also for sharing knowledge and communication among other stakeholders. In this paper, we attempt to apply the System Experience Boundary Map, which is one of the experience mapping methods used in the field of design thinking, for the analysis and formal description of the results of social simulation.

本研究は、2010～2024年におけるAI関連特許を保有する上位30社の特許を対象に、AI特許と非AI特許の質的指標（被引用上位10%分位値（P90）、技術結合性（Cites-pat）、所有者集中度（HHI））を比較分析したものである。分析の結果、AI特許は全般的に非AI特許を上回る質的優位を示したが、2020年以降は引用指標の差が縮小する傾向が認められた。この変化は、AI特許分野への参入主体の拡大と、それに伴う被引用の分散化に起因する可能性がある。これらの結果は、先行研究で指摘されてきたM&A後の特許質低下が、AI特許保有企業においては緩和される可能性を示唆する。

本研究はAI関連特許を保有している企業のM＆A前後における保有特許の質的価値の評価に関する分析を試みる。分析対象は全世界の企業のイベントとし、分析対象期間は、2010年から2024年とする。分析においては、多様な形態の買収などを考慮する。分析においては、合成コントロールなどの手法や、評価指標としては引用数等を用い、M＆Aによる影響を明らかにする。

The objectives of this study are to optimize delivery strategies and estimate CO2 emission reductions. The results of the analysis showed, first, that the Gradient Boosting model is optimal for predicting same-day demand incorporating weather data. Second, it was quantitatively shown that the choice of delivery method based on the clustering results contributes to environmental impact reduction. The novelty of this study is the use of XAI to improve the transparency of the model and incorporate external environmental factors into the delivery planning. It is hoped that the selection of dynamic modeling and delivery methods will lead to a better society.