An agent-based model for designing a financial market that works well

Описание: An agent-based model for designing a financial market that works well
these slides: https://mizutatakanobu.com/2020CIFErb...
more detailed slides: https://mizutatakanobu.com/2021kyushu...

Takanobu Mizuta, SPARX Asset Management Co., Ltd.
https://mizutatakanobu.com/

2020 IEEE Symposium Series on Computational Intelligence (SSCI) on Computational Intelligence for Financial Engineering and Economics (CIFEr)
http://www.ieeessci2020.org/

Note that the opinions contained herein are solely those of the authors and do not necessarily reflect those of SPARX Asset Management Co., Ltd.

Designing a financial market that works well is very important for developing and maintaining an advanced economy, but is not easy because changing detailed rules, even ones that seem trivial, sometimes causes unexpected large impacts and side effects.
A computer simulation using an agent-based model can directly treat and clearly explain such complex systems where micro processes and macro phenomena interact. Recently, an artificial market model, which is an agent-based model for a financial market, has started to contribute to discussions on rules and regulations of actual financial markets.
We should understand what is a model deeper for healthy discussion using a model. I tried to clear up a common misunderstanding for a model. Why are models needed? How models should be? In the first place, what is a model?
The purpose of simulation is understanding the reasons and mechanism, not exactly forecasting the real world. The simplicity of the model is very important because unnecessary replication of macro phenomena leads to models that are overfitted and too complex. Such models prevent understanding and discovery of mechanisms affecting price formation because of the increase in related factors. We must shave non-investigating features from the model. Different investigations, different shaving parts.
I briefly introduced an artificial market model to design financial markets that work well and describe a previous study investigating tick size reduction. I hope that more artificial market models will contribute to designing financial markets that work well to further develop and maintain advanced economies.