SIG-FIN Nature Science [Farmer 9,Battiston 16] 4 5 [Cremers 16] (Patient) (Impatient) 2. [Cremers 16] (Patient) (Impatient) 2 [ 9, 12a] 3 [ 3,

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1 SIG-FIN-19 (Patient) 1 Takanobu Mizuta 2 Sadayuki Horie 1 SPARX Asset Management Co., Ltd. 2 Nomura Research Institute, Ltd. (Patient) (Impatient) 1 1. [French 8, Bogle 14] 1 [A.T.Kearney 16, 17] ( ) ( [Wurgler 1]) [Fraser-Jenkins 16] : mizutata@gmail.com [French 8,Bogle 14, 16] [Goodman 16] [Cremers 16] (Patient) (Impatient) [Cremers 16] [Albagli 15,Cremers 15] [Suominen 11] [Pastor 16] 1

2 SIG-FIN Nature Science [Farmer 9,Battiston 16] 4 5 [Cremers 16] (Patient) (Impatient) 2. [Cremers 16] (Patient) (Impatient) 2 [ 9, 12a] 3 [ 3, LeBaron 6, Chen 12, 12b, 14, Mizuta 16, Todd 16, 17a, 17b] 4 [ 14, Mizuta 16, 17a] JPX ( 5 [ 11, Braun-Munzinger 16] 2.1 N N/2 1 N/2 C C ( ) Patient [Cremers 16] (Patient) Patient Patient Patient N P t j Po t,j o = P f exp(dσ j ± m(µ j + 1)) (1) d m σ j j µ j j 1 ± + ( t 1) P t 1 P f o P f dσ j P f P f (Margin of Safety) [Graham 3] m(µ j + 1) Po t,j P t Impatient [Cremers 16] (Impatient) Impatient Impatient [Cremers 16] 2

3 SIG-FIN-19 Impatient N ImP Patient (1) t j lc 16, 14, 12, lc = P b exp( m(µ j + 1)) (2) 6 P b ( ) j P f exp(dσ j ) P t (1) N T N T /2 t j Po t,j 1, 8, 6, 4, 2, 体 1 体 2 体 1, 2, 3, 4, 5, 時刻 6, 7, 8, 9, o = P t P t (3) t tmj P log(po t,j /P t ) log(po t,j /P t ) log(p t /P t tmj ) (2) t j Po t,j o = P t tmj (4) tm j j 1 tm max tm max log(po t,j /P t ) ( ) log(p t /P t tmj ) (3) N N t j Po t,j o = P t exp(ησ t,j ) (5) η σ t,j t j [Chen 12] 8 [ 15a, Kurosaki 15b] 1: Patient N P =, 1, 5 P t Impatient Patient N P t (call auction) [ 15, TSE 15] P t P t 3. N T = 1, N N = 1, C = P f = 1, d =.5, m =.2, tm max = 1, η =.5 t = t e = Patient N ImP = N P =, 1, 2, 5, 1, 2, 5 1 ( 1 1 3

4 SIG-FIN-19 1: Patient Patient Patient Patient Patient Patient 19.59% , 1, % , 1, % , 1, , % , 1, , % , 1, , % , 1, , % , 1, ,131 2: Patient (P) Impatient (ImP) P ImP P ImP P ImP P+ImP P ImP P ImP P+ImP % ,745 2,834 4, % ,776 2,94 5, % ,565 2,225 5, % ,411 1,529 5, % , , % ,69 6,69 頻度買い成立頻度売り成立頻度価格頻度買い注文人数売り注文人数 : 2 Patient (1) o. ) Patient N P (N P ) 人数 M ie M ie = 1 t e t e t=1 P t P f P f (6) 9 M ie 1 Patient N P =, 1, 2 P t Patient P f = 1 1 N P M ie N P N P (1 ) Patient 2 2 Patient (1) 9 [ 7,Verheyden 13] P f P f 4

5 SIG-FIN-19 買い成立頻度売り成立頻度価格頻度リターン順張り予想リターン 5 3.% 12 Patient 買い成立頻度 Impatient 買い成立頻度価格頻度 ( 右軸 ) Patient 売り成立頻度 Impatient 売り成立頻度 % 1 5 頻度 %.% -1.% リターン頻度価格頻度 1-2.% % : 2 log(p t /P t 1 ) (log( o /P t )). Po t,j ( ) P f = 1 P t = 98(P t = 13) (σ j )Patient σ j P f exp(dσ j m(µ j + 1)) P f P f exp(dσ j + m(µ j + 1)) P f ( ) Patient ( ) Patient Patient ( ) P f Patient 3 2 log(p t /P t 1 ) log(po t,j /P t ) Patient P f ( ) ( ) Patient ( ) [Pastor 16] [Albagli 15,Cremers 15] 4: N P = 12,N ImP = 8 2 Patient Impatient Patient P t P f Patient 1 N P P f Patient N P 1 1 Patient Impatient Patient {(N P, N ImP )} = {(1, 1), (12, 8), (14, 6), (16, 4), (18, 2), (2, )} N P + N ImP = 2 2 N P,N ImP M ie Patient Impatient 1 N P N ImP M ie 1 Impatient (3.2 ) Patient 5

6 SIG-FIN-19 6 価格頻度買い注文人数売り注文人数 3 Patient Patient Impatient 頻度 : N P = 12,N ImP = 8 2 Patient (1) o 1 Impatient Patient Patient 4 N P = 12,N ImP = 8 2 Patient Impatient Impatient 2 Impatient P t = 95 Impatient P t = 98 Impatient P t = 98 Patient (3.2 ) Impatient 5 N P = 12,N ImP = 8 2 Patient (1) Po t,j 4 Impatient Patient (P t = 12 15) Impatient Patient 人数 4. [Cremers 16] (Patient) (Impatient) Patient Patient [Pastor 16] [Albagli 15, Cremers 15] Impatient Patient Patient Impatient Patient Impatient Patient Patient Patient Impatient ( ) 6

7 SIG-FIN-19 3: N P =, N ImP = 1.12% [Cremers 16] 1 [ 3, LeBaron 6, Chen 12, 12b, 14, Mizuta 16, Todd 16, 17a, 17b] [Chen 12],, [Weisberg 12] [Weisberg 12] fat-tail volatilityclustering stylized fact [LeBaron 6, Chen 12, 12b, 14, Mizuta 16] 2 [Sewell 11] [Sewell 11] 3 N P =, N ImP = log(p t /P t 1 ) [Albagli 15] Albagli, E.: Investment horizons and asset prices under asymmetric information, Journal of Economic Theory, Vol. 158, Part B, pp (215), [A.T.Kearney 16] A.T.Kearney, : The $2 billion impact of the new fiduciary rule on the U.S. wealth management industry, A.T. Kearney study, Perspective for Discussion, A.T. Kearney, No. October (216), [Battiston 16] Battiston, S., Farmer, J. D., Flache, A., Garlaschelli, D., Haldane, A. G., Heesterbeek, H., Hommes, C., Jaeger, C., May, R., and Scheffer, M.: Complexity theory and financial regulation, Science, Vol. 351, No. 6275, pp (216), [Bogle 14] Bogle, J. C.: The arithmetic of all-in investment expenses, Financial Analysts Journal, Vol. 7, No. 1, pp (214), 7

8 SIG-FIN-19 [Braun-Munzinger 16] Braun-Munzinger, K., Liu, Z., and Turrell, A.: Staff Working Paper No. 592 An agent-based model of dynamics in corporate bond trading, Bank of England, Staff Working Papers (216), 216/swp592.aspx [Chen 12] Chen, S.-H., Chang, C.-L., and Du, Y.-R.: Agent-based economic models and econometrics, Knowledge Engineering Review, Vol. 27, No. 2, pp (212), [Cremers 15] Cremers, M. and Pareek, A.: Short-Term Trading and Stock Return Anomalies: Momentum, Reversal, and Share Issuance, Review of Finance, Vol. 19, No. 4, p (215), [Cremers 16] Cremers, M. and Pareek, A.: Patient capital outperformance: The investment skill of high active share managers who trade infrequently, Journal of Financial Economics, Vol. 122, No. 2, pp (216), [ 9],, (29), [Farmer 9] Farmer, J. D. and Foley, D.: The economy needs agentbased modelling, Nature, Vol. 46, No. 7256, pp (29), [Fraser-Jenkins 16] Fraser-Jenkins, I.: The Silent Road to Serfdom: Why Passive Investing is Worse Than Marxism, Sanford C. Bernstein research report (216) [French 8] French, K. R.: Presidential Address: The Cost of Active Investing, The Journal of Finance, Vol. 63, No. 4, pp (28), [Goodman 16] Goodman, B.: Is Passive Investing Really Worse Than Marxism? Despite doing everything in its power to demonize index funds, an Alliance Bernstein team fails to prove they actually harm markets., Barron s on The Wall Street Journal, Dow Jones & Company (216), [Graham 3] Graham, B. and Zweig, J.: The Intelligent Investor: The Definitive Book on Value Investing, HarperCollins (23) [ 7],, in KEIO Economic Society Discussion Paper, No. 5, (27), [ 3], (23), [ 12a],, (212), IEEJ-GH1262-PRT [ 12b] 3,, ( 6 ), (212), [ 17a],, 5,,, (217), ISBN [ 17b] 6, ( ), (217), [ 17],,,, (217), [ 15a],,,,, No. 15-J-2 (215), [Kurosaki 15b] Kurosaki, T., Kumano, Y., Okabe, K., and Nagano, T.: Liquidity in JGB Markets: An Evaluation from Transaction Data, Bank of Japan Working Paper Series, No. 15-E-2 (215), htm/ [LeBaron 6] LeBaron, B.: Agent-based computational finance, Handbook of computational economics, Vol. 2, pp (26), [ 14], (214), [Mizuta 16] Mizuta, T.: A Brief Review of Recent Artificial Market Simulation (Multi-Agent Simulation) Studies for Financial Market Regulations and/or Rules, SSRN Working Paper Series (216), [Pastor 16] Pastor, L., Stambaugh, R. F., and Taylor, L. A.: Do Funds Make More When They Trade More?, SSRN Working Paper Series (216), [Sewell 11] Sewell, M.: Characterization of financial time series, Research Note, University College London, Department of Computer Science, No. RN/11/1 (211), [ 16] 4,,, Vol. 56, No. 1 (216), [Suominen 11] Suominen, M. and Rinne, K.: A Structural Model of Short-Term Reversals, SSRN Working Paper Series (211), [ 11],, Vol. 211, pp (211), [Todd 16] Todd, A., Beling, P., Scherer, W., and Yang, S. Y.: Agentbased financial markets: A review of the methodology and domain, in Computational Intelligence for Financial Engineering Economics (CIFEr), 216 IEEE Symposium Series on Computational Intelligence on (216), [ 15], (215), html [TSE 15] TSE, : Guide to TSE Trading Methodology, Tokyo Stock Exchange (215), [Verheyden 13] Verheyden, T., De Moor, L., and Bossche, Van den F.: A Tale of Market Efficiency, Review of Business and Economic Literature, Vol. 58, No. 2, pp (213), 213&pn=2 [Weisberg 12] Weisberg, M.: Simulation and Similarity: Using Models to Understand the World, Oxford Studies in the Philosophy of Science (212), ( : : - - (217)) [Wurgler 1] Wurgler, J.: On the Economic Consequences of Index- Linked Investing, Working Paper 16376, National Bureau of Economic Research (21), 8

4 ( ) NATURE SCIENCE [Battiston 16] 2008 ( ) 5 JPX [ 13] [ 15a, 15b] [ 15,Mizuta 16c] [ 15a, 15b] δt (δt =1) (δt > 1) 4 [ 09, 12] 5 [LeBaron 06,Chen 1

4 ( ) NATURE SCIENCE [Battiston 16] 2008 ( ) 5 JPX [ 13] [ 15a, 15b] [ 15,Mizuta 16c] [ 15a, 15b] δt (δt =1) (δt > 1) 4 [ 09, 12] 5 [LeBaron 06,Chen 1 1 Takanobu Mizuta 2 Kiyoshi Izumi 1 SPARX Asset Management Co., Ltd. 2 School of Engineering, The University of Tokyo 1. 2000 2010 1 () ( ) [Farmer 12, Budish 15] [Budish 15] ( ) [Budish 15] : mizutata@gmail.com