Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation
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...
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| Format: | Article |
| Language: | English |
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Wiley
2020-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2020/3497689 |
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| _version_ | 1832551901472751616 |
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| author | Isao Yagi Shunya Maruyama Takanobu Mizuta |
| author_facet | Isao Yagi Shunya Maruyama Takanobu Mizuta |
| author_sort | Isao Yagi |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-c198f3ea71814c36b8aa39659b7fd32d |
| institution | Kabale University |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2020-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-c198f3ea71814c36b8aa39659b7fd32d2025-02-03T06:00:11ZengWileyComplexity1076-27871099-05262020-01-01202010.1155/2020/34976893497689Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based SimulationIsao Yagi0Shunya Maruyama1Takanobu Mizuta2Faculty of Information Technology, Kanagawa Institute of Technology, Atsugi 243-0292, JapanCourse of Information and Computer Sciences, Graduate School of Kanagawa Institute of Technology, Atsugi 243-0292, JapanSPARX Asset Management Co., Ltd., Minato-ku 108-0075, JapanA 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.http://dx.doi.org/10.1155/2020/3497689 |
| spellingShingle | Isao Yagi Shunya Maruyama Takanobu Mizuta Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation Complexity |
| title | Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation |
| title_full | Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation |
| title_fullStr | Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation |
| title_full_unstemmed | Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation |
| title_short | Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation |
| title_sort | trading strategies of a leveraged etf in a continuous double auction market using an agent based simulation |
| url | http://dx.doi.org/10.1155/2020/3497689 |
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