An Analysis of the Market Impact of Short-selling Regulation using Artificial Markets
Author:
Affiliation:
1. Interdisciplinary Graduate School of Science and Engineering, Tokyo Institute of Technology
2. SPARX Asset Management Co., Ltd.
3. School of Engineering, The University of Tokyo
Publisher
Japanese Society for Artificial Intelligence
Subject
Artificial Intelligence,Software
Link
http://www.jstage.jst.go.jp/article/tjsai/26/1/26_1_208/_pdf
Reference16 articles.
1. [Arthur 97] W. Arthur, J. Holland, B. Lebaron, R. Palmer, and P. Tayler: Asset Pricing under Endogenous Expectations in an Artificial Stock Market, The Economy as an Evolving Complex System II, pp. 15-44, Addison-Wesley (1997)
2. [Bris 04] A. Bris, W. N. Goetzmann, and N. Zhu: Efficiency and the Bear: Short Sales and Markets around the World, Yale ICF Working Paper, Yale ICF (2004)
3. [Chen 02] S.-H. Chen, and C.-H. Yeh: On the Emergent Properties of Artificial Stock Markets: the Efficient Market Hypothesis and the Rational Expectations Hypothesis, Economic Behavior & Organization, Vol. 49, No. 2, pp. 217-239 (2002)
4. [Darley 07] V. Darley and A. V. Outkin: A NASDAQ Market Simulation: Insights on a Major Market from the Science of Complex Adaptive Systems, World Scientific Pub. Co. Inc. (2007)
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