English / Japanese
Dr. Takanobu MIZUTA-- 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 --
2021, Best Papers Award Nominee on The 8th International Conference on Behavioral, Economic, and Socio-Cultural Computing (BESC 2021), certificate.-- 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.
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- 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, acceptance rate 54%(33/61), 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.
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- 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.
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- 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. --
The chair, 2025 IEEE Symposium Series on Computational Intelligence, Computational Intelligence for Financial Engineering and Economics(CIFEr 2025). 2024 IEEE International Workshop on Dynamic Data Science & Big Data Analytics in Finance (DDS-BDAF), on Intelligent and Resilient Computing for a Collaborative World (COMPSAC). 2023 IEEE Symposium Series on Computational Intelligence, Computational Intelligence for Financial Engineering and Economics(CIFEr 2023). 2023 IEEE International Workshop on Dynamic Data Science & Big Data Analytics in Finance (DDS-BDAF), on Intelligent and Resilient Computing for a Collaborative World (COMPSAC). 2022 IEEE Computational Intelligence for Financial Engineering and Economics(CIFEr 2022), member list. 2021 IEEE International Workshop on Dynamic Data Science & Big Data Analytics in Finance (DDS-BDAF), on Intelligent and Resilient Computing for a Collaborative World (COMPSAC). 2020 International Conference on Smart Computing and Artificial Intelligence (SCAI), on International Congress on Advanced Applied Informatics (AAI).-- 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 --
Finance Research Letters Quantitative Finance Quarterly Review of Economics and Finance Intelligent Systems in Accounting, Finance and Management Journal of Banking and Finance International Review of Financial Analysis Journal of Simulation Financial Innovation Simulation Modelling Practice and Theory International Journal of Information Management Information Processing Letters Expert Systems With Applications Information Fusion Mathematics International Journal of Electrical Power and Energy Systems Energy Strategy Reviews German Economic Review Sustainable Production and Consumption Journal of Information Processing New Generation Computing Investment Management and Financial Innovations International Journal of Information Technology & Decision Making Chaos, Solitons and Fractals Computers in Industry Hawaii International Conference on System Sciences Blockchain: Research and Applications Transactions of the Japanese Society for Artificial Intelligence IEICE TRANSACTIONS on Fundamentals of Electronics, Communications and Computer Sciences IEEJ Transactions on Electronics, Information and Systems IPSJ(Information Processing Society of Japan) Journal