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Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation
Joint Authors
Yagi, Isao
Maruyama, Shunya
Mizuta, Takanobu
Source
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-02-11
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Yagi, Isao& Maruyama, Shunya& Mizuta, Takanobu. 2020. Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation. Complexity،Vol. 2020, no. 2020, pp.1-7.
https://search.emarefa.net/detail/BIM-1141467
Modern Language Association (MLA)
Yagi, Isao…[et al.]. Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation. Complexity No. 2020 (2020), pp.1-7.
https://search.emarefa.net/detail/BIM-1141467
American Medical Association (AMA)
Yagi, Isao& Maruyama, Shunya& Mizuta, Takanobu. Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation. Complexity. 2020. Vol. 2020, no. 2020, pp.1-7.
https://search.emarefa.net/detail/BIM-1141467
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1141467