[2O1-J-13] AI application: dynamics in finance

[2O1-J-13-02] Relationship between Liquidity and Costs of Arbitrage Trading for Stocks and ETF --- Investigation by Agent-Based Model ---

〇Takanobu Mizuta¹ (1. SPARX Asset Management Co., Ltd.)

Keywords:finance, Artificial Market, Multi-Agent Simulation

We built the artificial market model (agent-based model) that includes two stocks and one ETF (Exchange Traded Fund) and one arbitrage-agent. We investigated relationship between liquidity and arbitrage costs by the model. Our simulation results showed that when costs are smaller than volatility chances of arbitrage happen more times, number of trades by the arbitrage agent increases and the price difference between ETF and stocks becomes narrower.