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Table 2. Minimum prices from new fundamental value for various AP,,, tn Table 3. Reaching times to new fundamental value divided by 1000 for various AP,,,t,,

Table 2 Minimum prices from new fundamental value for various AP,,, tn Table 3. Reaching times to new fundamental value divided by 1000 for various AP,,,t,,

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Table 1. Stylized facts in each run.
Table 1. Stylized facts in each run.
Figure 3. Time series of a fundamental strategy weight and a technical strategy weight in case without any regulations. sharp declining fundamenta and with the price variation shows that, during the crush t = 200,000 , the technical s he fundamental strategy wei ent with empirical studies [20,21] that show that inves- value, without regulations imit, respectively. Figure 3 from about t=100,000 to rategy weight increased and ght declined. This is consis- ors tend to switch from the he fundamental value. Figu strategy during a crush because the fundamental strategy ooses during an overshoot, declining the price less than fundamental to the technica re 4 shows that, in contras o in the case without regulations, during the crush the technical strategy weight did not increase but the funda- mental strategy weight did. The price variation limit re- stricted agents switching to the technical strategy and
Figure 3. Time series of a fundamental strategy weight and a technical strategy weight in case without any regulations. sharp declining fundamenta and with the price variation shows that, during the crush t = 200,000 , the technical s he fundamental strategy wei ent with empirical studies [20,21] that show that inves- value, without regulations imit, respectively. Figure 3 from about t=100,000 to rategy weight increased and ght declined. This is consis- ors tend to switch from the he fundamental value. Figu strategy during a crush because the fundamental strategy ooses during an overshoot, declining the price less than fundamental to the technica re 4 shows that, in contras o in the case without regulations, during the crush the technical strategy weight did not increase but the funda- mental strategy weight did. The price variation limit re- stricted agents switching to the technical strategy and
Figure 4. Time series of a fundamental strategy weight and a technical strategy weight in case with the price variation limit.
Figure 4. Time series of a fundamental strategy weight and a technical strategy weight in case with the price variation limit.
faster convergence to the new fundamental price and the smaller overshoot are not compatible. To make ampli- tude of a overshoot smaller, market prices converge to fundamental prices more slowly. On the other hand, if you speed up converging speed of market prices to fun- damental value, occurrence of an overshoot is unavoid- able. In an area of the lower left of Table 3, values are very similar, about 39,000. This value is almost the same as the converging speed to the fundamental value without the price variation limit, v. In the case without the price variation limit, it took about 39,000 for a price to rise to 7000 from 10,000, so v=3000/39,000 = 0.077$. Sha- dow areas in Tables 2 and 3 satisfy an inequality con- straint,
faster convergence to the new fundamental price and the smaller overshoot are not compatible. To make ampli- tude of a overshoot smaller, market prices converge to fundamental prices more slowly. On the other hand, if you speed up converging speed of market prices to fun- damental value, occurrence of an overshoot is unavoid- able. In an area of the lower left of Table 3, values are very similar, about 39,000. This value is almost the same as the converging speed to the fundamental value without the price variation limit, v. In the case without the price variation limit, it took about 39,000 for a price to rise to 7000 from 10,000, so v=3000/39,000 = 0.077$. Sha- dow areas in Tables 2 and 3 satisfy an inequality con- straint,
Figure 5. A time evolution of market prices in the same AP, [ty + One future study is to a find way to recommend actu- ally good parameters of the price variation limit to real
Figure 5. A time evolution of market prices in the same AP, [ty + One future study is to a find way to recommend actu- ally good parameters of the price variation limit to real
''The volatilities were standard deviation of returns of market prices within t,, Table 4. Ratios of reaching to new fundamental value by simulation ends to 100 times simulation runs for various small AP,,,t,,, and V,,, , volatilities calculated by ¢,,.
''The volatilities were standard deviation of returns of market prices within t,, Table 4. Ratios of reaching to new fundamental value by simulation ends to 100 times simulation runs for various small AP,,,t,,, and V,,, , volatilities calculated by ¢,,.
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