English / Japanese

orcid.org/0000-0003-4329-0645

-- Pick Up Materials --

Text Book: Financial Market Design by an Agent-Based Model

An agent-based model for designing a financial market that works well, Paper(arXiv), Presentation(YouTube), Detail Slides(.pdf).

A Brief Review of recent Artificial Market Simulation (Multi-Agent Simulation) Studies for Financial Market Regulations and/or Rules, Paper(SSRN).

What is a Hight-Speed Trade? Why does a Stock Exchange Speed-Up?, Presentation(YouTube), Slides(.pdf).

Can an artificial intelligence perform market manipulation with its own discretion? - A genetic algorithm learns in an artificial market simulation, Paper(arXiv), Presentation(YouTube), Slides(.pdf).

-- Profile --

Now, I belong to SPARX Asset Management Co., Ltd. as Fund Manager and Senior Researcher
Member of IEEE CIS

1996-2000 Japan Meteorological College
2000-2002 Graduate School of Science, University of Tokyo: STP (Solar Terrestrial Physics group) in Department of Earth and Planetary Science, studying the theory of space plasma physics
2002 Master degree of science
2002-2004 PhD. Student
2004-now SPARX Asset Management Co., Ltd.
2007 Chartered Member of the Security Analysts Association, Japan
2011-2014 Kiyoshi Izumi Laboratory, Department of Systems Innovation, School of Engineering, the University of Tokyo
2014 Ph.D. degree of technology, certificate
2014-2022, Part-time lecturer of the Graduate School of Public Policy, The University of Tokyo
2019-now, IEEE Computational Intelligence Society, Computational Finance and Economics Technical Committee(CFETC) Member,
and 2024-2025, Committee Chair of CFETC

-- Award --

-- Refereed Original Papers --

- Guan, X., Mizuta, T., Yagi, I., Impact of arbitrage trading between an ETF and its underlying assets on market liquidity of their markets using an agent-based simulation, Journal of Computational Social Science, 2024.

- Yagi, I., Guan, X., Mizuta, T., Investigation of market impacts of arbitrage trading between an ETF and its underlying assets using an agent-based simulation, Finance Research Letters, 2024.

- Guan, X., Hoshino, M., Mizuta, T., Yagi, I., The Impact of Arbitrage Between Stock Markets With and Without Maker-Taker Fees Using an Agent-Based Simulation, New Generation Computing, 2024.

- Yagi, I., Hoshino, M., Mizuta, T., Impact of high-frequency trading with an order book imbalance strategy on agent-based stock markets, Complexity, 2023.

- Hoshino, M., Mizuta, T., Sudo, Y., Yagi, I., Impact of maker-taker fees on stock exchange competition from an agent-based simulation, Journal of Computational Social Science, Vol. 5, pp. 1323-1342, 2022.

- Yagi, I., Masuda, Y., Mizuta, T., Analysis of the Impact of High-Frequency Trading on Artificial Market Liquidity, IEEE Transactions on Computational Social Systems, Vol. 7, Issue 6, pp.1324-1334, 2020, arxiv.

- Yagi, I., Maruyama, S., Mizuta, T., Trading strategies of a leveraged ETF in a continuous double auction market using an agent-based simulation, Complexity, 2020, arxiv.

- Mizuta, T., Horie, S., Mechanism by which active funds make market efficient investigated with agent-based model, Evolutionary and Institutional Economics Review, Volume 16, Issue 1, pp.43-63, 2019 (first published online: 2018), Complimentary shared FULL Text.

- Nozaki, A., Mizuta, T., Yagi, I., A Study on the Market Impact of the Rule for Investment Diversification at the Time of a Market Crash using a Multi-Agent Simulation, IEICE(the Institute of Electronics, Information and Communication Engineers) TRANSACTIONS on Information and Systems, Vol. E100.D, Issue 12, pp.2878-2887, 2017.

- Yagi, I., Nozaki, A., Mizuta, T., Investigation of the rule for investment diversification at the time of a market crash using an artificial market simulation, Evolutionary and Institutional Economics Review, Vol. 14, Issue 2, pp.451-465, 2017.

- Mizuta, T., Kosugi, S., Kusumoto, T., Matsumoto, T., Izumi, Effects of Dark Pools on Financial Markets' Efficiency and Price-Discovery Function: An Investigation by Multi-Agent Simulations, Evolutionary and Institutional Economics Review, Vol. 12, Issue 2, pp.375-394, 2015, accepted-version paper(.pdf)

- Mizuta, T., Kosugi, S., Kusumoto, T., Matsumoto, T., Izumi, K., Yagi, I., Yoshimura, S., Effects of Price Regulations and Dark Pools on Financial Market Stability: An Investigation by Multi-Agent Simulations, Intelligent Systems in Accounting, Finance and Management, Vol. 23, Issue 1-2, pp.97-120, 2016 (first published online: 2015).

- Mizuta, T., Izumi, K., Yagi, I., Yoshimura, S., Investigation of Price Variation Limits, Short Selling Regulation, and Uptick Rules and Their Optimal Design by Artificial Market Simulations, Electronics and Communications in Japan, Vol.98, Issue 7, pp.13-21, July, 2015.

- Wang, C., Izumi, K., Mizuta, T., and Yoshimura, S., Investigating the Impact of Trading Frequencies of Market Makers: a Multi-agent Simulation Approach, SICE Journal of Control, Measurement, and System Integration, Vol.6, No. 3, pp.216-220, 2013.

- Furuhata, M., Mizuta T., So J., Paired Evaluators Method to Track Concept Drift: An Application in Finance, Advances in Chance Discovery, Studies in Computational Intelligence, 2013, Volume 423, pp.127-141, 2013.

- Yagi, I., Mizuta, T., Izumi, K., A Study on the Market Impact of Short-Selling Regulation Using Artificial Markets, ADVANCES IN PRACTICAL MULTI-AGENT SYSTEMS Studies in Computational Intelligence, Volume, Vol. 325, pp.217-231, 2011.

- Yagi, I., Mizuta, T., Izumi, K., A Study on the Effectiveness of Short-selling Regulation using Artificial Markets, Evolutionary and Institutional Economics Review, Vol.7, No.1, pp.113-132, 2010.

- Mizuta, T., Kobayashi, S., Kato, T., Shimotsuma, How Good Is a Precise and Complex Quants Fund?, Securities Analysts Journal, (10), pp.72-81, 2008.

- - -

- Mizuta, T. and M. Hoshino, New Non-stochastic Acceleration in Multi-component Plasmas, COSPAR COLLOQUIA SERIES., Vol. 16, Frontiers in Magnetospheric Plasma Physics, pp.261-264, 2005.

- Fujita, S., H. Nakata, M. Itonaga, A. Yoshikawa, and T. Mizuta, A numerical simulation of the Pi2 pulsations associated with the substorm current wedge, J. Geophys. Res., Vol. 107, No. A3, SMP 2, Mar, 2002.

- Mizuta, T. and M. Hoshino, Preferential acceleration of heavy ions in multi-component plasmas, Geophys. Res. Lett., Vol. 28, No 16, pp.3099-3102, Aug 15, 2001.

- Fujita, S., T. Mizuta, M. Itonaga, A. Yoshikawa, and H. Nakata, Propagation property of transient MHD impulses in the magnetosphere - ionosphere system: The 2D model of the Pi2 pulsation, Geophys. Res. Lett., Vol. 28, No 11, pp.2161-2164, Jun 1, 2001.

-- Refereed Conference Papers --

- Nakagawa, K., Hirano, M., Minami, K., Mizuta, T., A Multi-agent Market Model Can Explain the Impact of AI Traders in Financial Markets - A New Microfoundations of GARCH model, International Conference on Principles and Practice of Multi-Agent Systems (PRIMA 2024), November 18 to 24, 2024, Kyoto, Japan, arxiv.

- Mizuta, T., Yagi, I., An interaction between a leveraged ETF and futures in a crash investigated by an agent-based model, IEEE, Computational Intelligence for Financial Engineering and Economics (CIFEr 2024), October 22 to 23, 2024, Hoboken, New Jersey, USA, slide(.pdf).

- Mizuta, T., Yagi, I., Comparing effects of price limit and circuit breaker in stock exchanges by an agent-based model, IEEE Symposium Series on Computational Intelligence, Computational Intelligence for Financial Engineering and Economics (CIFEr 2023), December 5 to 8, 2023, Mexico City, Mexico, arxiv, acceptance rate 54%(13/24), slide(.pdf), Presentation(YouTube).

- Mizuta, T., Izumi, K., Frequent batch auctions investigated by agent-based model, 14th IIAI International Congress on Advanced Applied Informatics (AAI), Applied Informatics in Finance and Economics (AIFE 2023), July 8 to 13, 2023, Koriyama, Japan, working paper(.pdf), slide(.pdf).

- Noritake, Y., Mizuta, T., Hemmi, R., Nagumo S., Izumi, K., Investigation on effect of excess buy orders using agent-based model, The 9th International Conference on Behavioral, Economic, and Socio-Cultural Computing (BESC 2022), October 29 to 31, 2022, Matsuyama, Japan(virtual), full or short paper acceptance rate 46%(38/83).

- Mizuta, T., Yagi, I., Takashima, K., Instability of financial markets by optimizing investment strategies investigated by an agent-based model, IEEE Computational Intelligence for Financial Engineering and Economics (CIFEr 2022), May 4 to 5, 2022, Helsinki, Finland(virtual), arxiv, slide(.pdf), Presentation(YouTube).

- Mizuta, T., Do new investment strategies take existing strategies' returns -An investigation into agent-based models-, The 8th International Conference on Behavioral, Economic, and Socio-Cultural Computing (BESC 2021), October 29 to 31, 2021, Doha, Qatar(virtual), arxiv, full paper acceptance rate 27%(14/52), Best Papers Award Nominee, certificate, slide(.pdf), Presentation(YouTube).

- Mizuta, T., Can an AI perform market manipulation at its own discretion? -A genetic algorithm learns in an artificial market simulation-, IEEE Symposium Series on Computational Intelligence, Computational Intelligence for Financial Engineering and Economics (CIFEr), December 1 to 4, 2020, Canberra, Australia(virtual), arxiv, slide(.pdf), Presentation(YouTube).

- Mizuta, T., An agent-based model for designing a financial market that works well, IEEE Symposium Series on Computational Intelligence, Computational Intelligence for Financial Engineering and Economics (CIFEr), December 1 to 4, 2020, Canberra, Australia(virtual), arxiv, slide(.pdf), Presentation(YouTube).

- Mizuta, T., How Many Orders does a Spoofer Need? -Investigation by Agent-Based Model-, The 7th International Conference on Behavioral, Economic, and Socio-Cultural Computing (BESC 2020), November 5 to 7, 2020, Bournemouth, United Kingdom(virtual), submitted-version paper(.pdf), slide(.pdf), Presentation(YouTube).

- Yagi, I., Hoshino, M., Mizuta, T., Analysis of the impact of maker-taker fees on the stock market using agent-based simulation, ACM 1st International Conference on AI in Finance, October 15,16, 2020, New York, USA(virtual), arxiv.

- Mizuta, T., Agent-Based Model of Liquidity and Arbitrage Cost Between ETF and Stocks, IIAI AAI 2019, 7th International Conference on Smart Computing and Artificial Intelligence (SCAI 2019), pp. 685-688, July 7 to 12, 2019, Toyama, Japan, slide(.pdf).

- Yagi, I., Mizuta, T., Analysis of the impact of the rule for investment diversification on investment performance using a multi-agent simulation, IIAI AAI 2019, 7th International Conference on Smart Computing and Artificial Intelligence (SCAI 2019), pp. 689-692, July 7 to 12, 2019, Toyama, Japan.

- Mizuta, T., Effect of Increasing Horizontal Shareholding with Index Funds on Competition and Market Prices -- Investigation by Agent-Based Model --, The 5th International Conference on Behavioral, Economic, and Socio-Cultural Computing (BESC 2018), pp. 185-188, November 12 to 14, 2018, Kaohsiung, Taiwan, submitted-version paper(.pdf), slide(.pdf).

- Yagi, I., Masuda, Y., Mizuta, T., Detection of Factors Influencing Market Liquidity Using an Agent-based Simulation, The 5th International Conference on Behavioral, Economic, and Socio-Cultural Computing (BESC 2018), pp. 173-178, November 12 to 14, 2018, Kaohsiung, Taiwan, Distinguished Research on Behavioral and Economic Computing, certificate.

- Mizuta, T., Horie, S., Why do Active Funds that Trade Infrequently Make a Market more Efficient? - Investigation using Agent-Based Model, IEEE Symposium Series on Computational Intelligence, Computational Intelligence for Financial Engineering and Economics (CIFEr), November 27 to December 1, 2017, Honolulu, accepted-version paper(.pdf), slide(.pdf).

- Mizuta, T., Noritake, Y., Hayakawa, S., Izumi, K., Affecting Market Efficiency by Increasing Speed of Order Matching Systems on Financial Exchanges -- Investigation using Agent Based Model, IEEE Symposium Series on Computational Intelligence, Computational Intelligence for Financial Engineering and Economics (CIFEr), December 6-9, 2016, Athens, slide(.pdf).

- Yagi, I., Mizuta, T., Analysis of the Impact of Leveraged ETF Rebalancing Trades on the Underlying Asset Market Using Artificial Market Simulation, 12th Artificial Economics Conference, September 20-21, 2016, Rome, slide(.pdf), paper(.pdf).

- Mizuta, T., Kosugi, S., Kusumoto, T., Matsumoto, W., Izumi, K., Yoshimura, S., Do Dark Pools Stabilize Markets and Reduce Market Impacts? -- Investigations using Multi-Agent Simulations --, IEEE, Computational Intelligence for Financial Engineering and Economics (CIFEr), pp.71-76, March 27-28, 2014, London, 3rd place award, certificate, slide(.pdf).

- Mizuta, T., Izumi, K., Yagi, I., Yoshimura, S., Regulations' Effectiveness for Market Turbulence by Large Erroneous Orders using Multi Agent Simulation, IEEE, Computational Intelligence for Financial Engineering and Economics (CIFEr), pp.138-143, March 27-28, 2014, London, slide(.pdf).

- Mizuta, T., Hayakawa, S., Izumi, K., Yoshimura, S., Simulation Study on Effects of Tick Size Difference in Stock Markets Competition, The 8th International Workshop on Agent-based Approach in Economic and Social Complex Systems (AESCS 2013), September 11-13, 2013, Tokyo, paper(.pdf), slide(.pdf).

- Mizuta, T., Izumi, K., Yoshimura, S., Price Variation Limits and Financial Market Bubbles: Artificial Market Simulations with Agents' Learning Process, IEEE Symposium Series on Computational Intelligence, Computational Intelligence for Financial Engineering and Economics (CIFEr), pp.1-7, April 16-19, 2013, Singapore, slide(.pdf).

- Yagi, I., Mizuta, T., Izumi, K., A study on the Reversal Mechanism for Large Stock Price Declines Using Artificial Market, IEEE Computational Intelligence for Financial Engineering and Economics (CIFEr), pp. 1-7, March 29-30, 2012, New York.

- Yagi, I., Mizuta, T., Izumi, K., A Study on the Effectiveness of Short-Selling Regulation in View of Regulation Period Using Artificial Markets, IEEE/ACIS 9th International Conference, Computer and Information Science (ICIS), pp. 169-174, August 18-20, 2010, Yamagata.

- Furuhata, M., Mizuta T., So J., Paired Evaluators Method to Track Concept Drift: An Application for Hedge Funds Operations, 5th International Workshop on Chance Discovery (IWCD10), December 14, 2010, Sydney.

- - -

- COSPAR Colloquium Frontiers of Magnetospheric Plasma Physics, July 24-26, 2002, Kanagawa.

-- Books and Book Chapters --

- Mizuta, T., Yagi, I.,Financial Market Design by an Agent-Based Model, Springer Nature, 2025 in press.

- Mizuta, T., Artificial Intelligence (AI) for Financial Markets: A Good AI for Designing Better Financial Markets and a Bad AI for Manipulating Markets, Digital Designs for Money, Markets, and Social Dilemmas, pp. 305-329, 2022.

- Yagi, I., Masuda, Y., Mizuta, T., Detection of Factors Influencing Market Liquidity Using an Agent-Based Simulation, Network Theory and Agent-Based Modeling in Economics and Finance, pp. 111-131, 2019.

-- Working Papers and Thesis --

- Mizuta, T., Yagi, I., Financial Market Design by an Agent-Based Model, Springer Nature, 2025 in press.

- Mizuta, T., Artificial Intelligence (AI) for Financial Markets: A Good AI for Designing Better Financial Markets and a Bad AI for Manipulating Markets, Digital Designs for Money, Markets, and Social Dilemmas, pp. 305-329, 2022.

- Noritake, Y., Hemmi, R., Nagumo, S. Mizuta, T., Izumi, K., Analysis of Short Side Market Inefficiencies Using Artificial Market Model, JPX Working Paper, Vol. 38, Japan Exchange Group, 2022, Full Text(.pdf), Summary(.pdf).

- Yagi, I., Masuda, Y., Mizuta, T., Detection of Factors Influencing Market Liquidity Using an Agent-Based Simulation, Network Theory and Agent-Based Modeling in Economics and Finance, pp. 111-131, 2019.

- Mizuta, T., Liquidity and Arbitrage Cost between ETF and Stocks using Agent-Based Model, JPX Working Paper, Vol. 27, Japan Exchange Group, 2019, Full Text(.pdf), Summary(.pdf).

- Mizuta, T., Izumi, K., Investigation of Frequent Batch Auctions using Agent Based Model, JPX Working Paper, Vol. 17, Japan Exchange Group, 2016, Full Text(.pdf), Summary(.pdf).

- Mizuta, T., Micro-Foundation of ARCH Model, SSRN Working Paper Series, 2016, paper(.pdf).

- Mizuta, T., A Brief Review of recent Artificial Market Simulation (Multi-Agent Simulation) Studies for Financial Market Regulations and/or Rules, SSRN Working Paper Series, 2016, paper(.pdf).

- Mizuta, T., Noritake, Y., Hayakawa, S., Izumi, K., Impacts of Speedup of Market System on Price Formations using Artificial Market Simulations, JPX Working Paper, Vol. 9, Japan Exchange Group, 2015, Full Text(.pdf), Summary(.pdf).

- Mizuta, T., Hayakawa, S., Izumi, K., Yoshimura, S., Investigation of Relationship between Tick Size and Trading Volume of Markets using Artificial Market Simulations, JPX Working Paper, Vol. 2, Japan Exchange Group, 2013, Full Text(.pdf), Summary(.pdf).

- Mizuta, T., Kudo, I., Kobayashi, Y., A Portfolio of Japanese Equities Weighted by YKS Patent Values, SSRN Working Paper, 2009.

- - -

- Mizuta, T., New wave heating process of heavy ions in multi-component plasmas, master thesis, University of Tokyo, 2002, paper(.pdf).

-- Lecture in University --

- Research Workshop, School of Economics, Kyushu University, 6/22, 2021, Talk 1: An agent-based model for designing a financial market that works well, Talk 2: Can an AI perform market manipulation at its own discretion? - A genetic algorithm learns in an artificial market simulation -, slides(.pdf)

-- Invited Talk --

- 2021 IEEE 71st Electronic Components and Technology Conference EPS Seminar, 6/10, 2021, What is a Hight-Speed Trade? Why does a Stock Exchange Speed-Up?, slides(.pdf), Presentation(YouTube).

-- Program Committee Member, etc. --

-- Article citing my comment --

- Il Sole 24 Ore, 2023/4/7, Borsa, cosi l'intelligenza artificiale manipola le quotazioni con robot e social, Italy only.

-- Referee Activity --