论文标题
使用基于代理的仿真，在连续的双拍卖市场中杠杆ETF的交易策略
Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation
论文作者
论文摘要
杠杆ETF是一项旨在实现回报率的基金，比Nikkei 225 Futures等基本资产的回报率要高几倍。最近，有人提出，杠杆ETF的重新平衡行业可能会使金融市场稳定。使用基于代理的模拟的实证研究表明，重新平衡贸易策略可能会影响基础资产市场的价格形成。但是，尚未提出杠杆ETF交易方法来抑制尽可能多的挥发性增加。在本文中，我们比较了针对拟议的交易模型的交易的不同策略，并报告了有关如何最好地抑制市场波动的调查结果。结果，发现随着重新平衡贸易的最低订单数量增加，对市场价格形成的影响下降。
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 volatility as much as possible has yet been proposed. In this paper, we compare different strategies of trading for a proposed trading model and report the results of our investigation regarding how best to suppress an increase in market volatility. As a result, it was found that as the minimum number of orders in a rebalancing trade increases, the impact on the market price formation decreases.
