{"id":"https://openalex.org/W4404446078","doi":"https://doi.org/10.1007/978-3-031-77367-9_9","title":"A Multi-agent Market Model Can Explain the\u00a0Impact of\u00a0AI Traders in\u00a0Financial Markets\u2013A New Microfoundations of\u00a0GARCH Model","display_name":"A Multi-agent Market Model Can Explain the\u00a0Impact of\u00a0AI Traders in\u00a0Financial Markets\u2013A New Microfoundations of\u00a0GARCH Model","publication_year":2024,"publication_date":"2024-11-15","ids":{"openalex":"https://openalex.org/W4404446078","doi":"https://doi.org/10.1007/978-3-031-77367-9_9"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-031-77367-9_9","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-031-77367-9_9","pdf_url":null,"source":{"id":"https://openalex.org/S106296714","display_name":"Lecture notes in computer science","issn_l":"0302-9743","issn":["0302-9743","1611-3349"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Lecture Notes in Computer Science","raw_type":"book-chapter"},"type":"book-chapter","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5086122043","display_name":"Kei Nakagawa","orcid":"https://orcid.org/0000-0001-5046-8128"},"institutions":[{"id":"https://openalex.org/I4210161116","display_name":"Nomura Holdings (Japan)","ror":"https://ror.org/057v6df68","country_code":"JP","type":"company","lineage":["https://openalex.org/I4210161116"]}],"countries":["JP"],"is_corresponding":true,"raw_author_name":"Kei Nakagawa","raw_affiliation_strings":["Nomura Asset Management Co., Ltd., Tokyo, Japan"],"affiliations":[{"raw_affiliation_string":"Nomura Asset Management Co., Ltd., Tokyo, Japan","institution_ids":["https://openalex.org/I4210161116"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5002301422","display_name":"Masanori Hirano","orcid":"https://orcid.org/0000-0001-5883-8250"},"institutions":[{"id":"https://openalex.org/I4210166566","display_name":"Preferred Networks (Japan)","ror":"https://ror.org/05xeefy56","country_code":"JP","type":"company","lineage":["https://openalex.org/I4210166566"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"Masanori Hirano","raw_affiliation_strings":["Preferred Networks, Inc., Chiyoda City, Japan"],"affiliations":[{"raw_affiliation_string":"Preferred Networks, Inc., Chiyoda City, Japan","institution_ids":["https://openalex.org/I4210166566"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5078910889","display_name":"Kentaro Minami","orcid":"https://orcid.org/0000-0002-0071-0673"},"institutions":[{"id":"https://openalex.org/I1302135459","display_name":"PayPal (United States)","ror":"https://ror.org/016jadm77","country_code":"US","type":"company","lineage":["https://openalex.org/I1302135459"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Kentaro Minami","raw_affiliation_strings":["PayPay Corporation, Tokyo, Japan"],"affiliations":[{"raw_affiliation_string":"PayPay Corporation, Tokyo, Japan","institution_ids":["https://openalex.org/I1302135459"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5001372336","display_name":"Takanobu Mizuta","orcid":"https://orcid.org/0000-0003-4329-0645"},"institutions":[{"id":"https://openalex.org/I99507834","display_name":"SPX Corporation (United States)","ror":"https://ror.org/02zwv8f48","country_code":"US","type":"company","lineage":["https://openalex.org/I99507834"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Takanobu Mizuta","raw_affiliation_strings":["SPARX Asset Management Co., Ltd., Minato City, Japan"],"affiliations":[{"raw_affiliation_string":"SPARX Asset Management Co., Ltd., Minato City, Japan","institution_ids":["https://openalex.org/I99507834"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5086122043"],"corresponding_institution_ids":["https://openalex.org/I4210161116"],"apc_list":{"value":5000,"currency":"EUR","value_usd":5392},"apc_paid":null,"fwci":13.7278,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.98629481,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":95},"biblio":{"volume":null,"issue":null,"first_page":"97","last_page":"113"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9969000220298767,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9958999752998352,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/microfoundations","display_name":"Microfoundations","score":0.9677412509918213},{"id":"https://openalex.org/keywords/financial-market","display_name":"Financial market","score":0.6628425121307373},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6349518895149231},{"id":"https://openalex.org/keywords/autoregressive-conditional-heteroskedasticity","display_name":"Autoregressive conditional heteroskedasticity","score":0.47259125113487244},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.35014835000038147},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.33103275299072266},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.24200493097305298},{"id":"https://openalex.org/keywords/macroeconomics","display_name":"Macroeconomics","score":0.16724082827568054},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.08368772268295288}],"concepts":[{"id":"https://openalex.org/C2776589375","wikidata":"https://www.wikidata.org/wiki/Q1876068","display_name":"Microfoundations","level":2,"score":0.9677412509918213},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.6628425121307373},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6349518895149231},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.47259125113487244},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.35014835000038147},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.33103275299072266},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.24200493097305298},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.16724082827568054},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.08368772268295288}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/978-3-031-77367-9_9","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-031-77367-9_9","pdf_url":null,"source":{"id":"https://openalex.org/S106296714","display_name":"Lecture notes in computer science","issn_l":"0302-9743","issn":["0302-9743","1611-3349"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Lecture Notes in Computer Science","raw_type":"book-chapter"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":22,"referenced_works":["https://openalex.org/W1537415400","https://openalex.org/W1976658031","https://openalex.org/W1979575715","https://openalex.org/W1999996900","https://openalex.org/W2100011707","https://openalex.org/W2104154419","https://openalex.org/W2121681609","https://openalex.org/W2171220845","https://openalex.org/W2232259720","https://openalex.org/W2279963021","https://openalex.org/W2330833228","https://openalex.org/W2801995467","https://openalex.org/W2987434780","https://openalex.org/W3009743688","https://openalex.org/W3122969280","https://openalex.org/W3123095408","https://openalex.org/W3124208334","https://openalex.org/W3125564657","https://openalex.org/W4231546411","https://openalex.org/W4232067337","https://openalex.org/W4237063594","https://openalex.org/W4254913624"],"related_works":["https://openalex.org/W2983374793","https://openalex.org/W4391785778","https://openalex.org/W3124933562","https://openalex.org/W1930795089","https://openalex.org/W2150694466","https://openalex.org/W2813359358","https://openalex.org/W2985312205","https://openalex.org/W2984537545","https://openalex.org/W2984635473","https://openalex.org/W4403747397"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1}],"updated_date":"2025-12-27T23:08:20.325037","created_date":"2025-10-10T00:00:00"}
