{"id":"https://openalex.org/W4402782272","doi":"https://doi.org/10.1007/s42001-024-00324-0","title":"Impact of arbitrage trading between an ETF and its underlying assets on market liquidity of their markets using an agent-based simulation","display_name":"Impact of arbitrage trading between an ETF and its underlying assets on market liquidity of their markets using an agent-based simulation","publication_year":2024,"publication_date":"2024-09-18","ids":{"openalex":"https://openalex.org/W4402782272","doi":"https://doi.org/10.1007/s42001-024-00324-0"},"language":"en","primary_location":{"id":"doi:10.1007/s42001-024-00324-0","is_oa":false,"landing_page_url":"http://dx.doi.org/10.1007/s42001-024-00324-0","pdf_url":null,"source":{"id":"https://openalex.org/S4210196583","display_name":"Journal of Computational Social Science","issn_l":"2432-2717","issn":["2432-2717","2432-2725"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319965","host_organization_name":"Springer Nature","host_organization_lineage":["https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Computational Social Science","raw_type":"journal-article"},"type":"article","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/A5100565446","display_name":"Guan Xin","orcid":null},"institutions":[{"id":"https://openalex.org/I116465919","display_name":"Kogakuin University","ror":"https://ror.org/01wc2tq75","country_code":"JP","type":"education","lineage":["https://openalex.org/I116465919"]}],"countries":["JP"],"is_corresponding":true,"raw_author_name":"Xin Guan","raw_affiliation_strings":["System Design Program, Graduate School of Engineering, Kogakuin University Graduate School, Tokyo, Japan"],"affiliations":[{"raw_affiliation_string":"System Design Program, Graduate School of Engineering, Kogakuin University Graduate School, Tokyo, Japan","institution_ids":["https://openalex.org/I116465919"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5001372336","display_name":"Takanobu Mizuta","orcid":"https://orcid.org/0000-0003-4329-0645"},"institutions":[{"id":"https://openalex.org/I4210130231","display_name":"Sparx Group (Japan)","ror":"https://ror.org/02qzb7q11","country_code":"JP","type":"company","lineage":["https://openalex.org/I4210130231"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"Takanobu Mizuta","raw_affiliation_strings":["SPARX Asset Management Co. Ltd., Tokyo, Japan"],"affiliations":[{"raw_affiliation_string":"SPARX Asset Management Co. Ltd., Tokyo, Japan","institution_ids":["https://openalex.org/I4210130231"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5077513463","display_name":"Isao Yagi","orcid":"https://orcid.org/0000-0003-0119-1366"},"institutions":[{"id":"https://openalex.org/I116465919","display_name":"Kogakuin University","ror":"https://ror.org/01wc2tq75","country_code":"JP","type":"education","lineage":["https://openalex.org/I116465919"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"Isao Yagi","raw_affiliation_strings":["Department of Information Science, Kogakuin University, Tokyo, Japan"],"affiliations":[{"raw_affiliation_string":"Department of Information Science, Kogakuin University, Tokyo, Japan","institution_ids":["https://openalex.org/I116465919"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5100565446"],"corresponding_institution_ids":["https://openalex.org/I116465919"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":1.1257,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.88427228,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":"7","issue":"3","first_page":"2839","last_page":"2870"},"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":0.9998000264167786,"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":0.9998000264167786,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.994700014591217,"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":0.9940999746322632,"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/market-liquidity","display_name":"Market liquidity","score":0.7946525812149048},{"id":"https://openalex.org/keywords/arbitrage","display_name":"Arbitrage","score":0.7263598442077637},{"id":"https://openalex.org/keywords/index-arbitrage","display_name":"Index arbitrage","score":0.6215054392814636},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.5230641961097717},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.4809657633304596},{"id":"https://openalex.org/keywords/statistical-arbitrage","display_name":"Statistical arbitrage","score":0.46551963686943054},{"id":"https://openalex.org/keywords/monetary-economics","display_name":"Monetary economics","score":0.45484647154808044},{"id":"https://openalex.org/keywords/algorithmic-trading","display_name":"Algorithmic trading","score":0.4523818790912628},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.39354684948921204},{"id":"https://openalex.org/keywords/risk-arbitrage","display_name":"Risk arbitrage","score":0.34411126375198364},{"id":"https://openalex.org/keywords/capital-asset-pricing-model","display_name":"Capital asset pricing model","score":0.16617688536643982},{"id":"https://openalex.org/keywords/arbitrage-pricing-theory","display_name":"Arbitrage pricing theory","score":0.1657334864139557}],"concepts":[{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.7946525812149048},{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.7263598442077637},{"id":"https://openalex.org/C52008547","wikidata":"https://www.wikidata.org/wiki/Q6017830","display_name":"Index arbitrage","level":5,"score":0.6215054392814636},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5230641961097717},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.4809657633304596},{"id":"https://openalex.org/C167416602","wikidata":"https://www.wikidata.org/wiki/Q2859660","display_name":"Statistical arbitrage","level":5,"score":0.46551963686943054},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.45484647154808044},{"id":"https://openalex.org/C78508483","wikidata":"https://www.wikidata.org/wiki/Q139445","display_name":"Algorithmic trading","level":2,"score":0.4523818790912628},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.39354684948921204},{"id":"https://openalex.org/C42854785","wikidata":"https://www.wikidata.org/wiki/Q2154735","display_name":"Risk arbitrage","level":4,"score":0.34411126375198364},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.16617688536643982},{"id":"https://openalex.org/C142450864","wikidata":"https://www.wikidata.org/wiki/Q629941","display_name":"Arbitrage pricing theory","level":3,"score":0.1657334864139557}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s42001-024-00324-0","is_oa":false,"landing_page_url":"http://dx.doi.org/10.1007/s42001-024-00324-0","pdf_url":null,"source":{"id":"https://openalex.org/S4210196583","display_name":"Journal of Computational Social Science","issn_l":"2432-2717","issn":["2432-2717","2432-2725"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319965","host_organization_name":"Springer Nature","host_organization_lineage":["https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Computational Social Science","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:jcsosc:v:7:y:2024:i:3:d:10.1007_s42001-024-00324-0","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s42001-024-00324-0","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/17","display_name":"Partnerships for the goals","score":0.4000000059604645}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":47,"referenced_works":["https://openalex.org/W11111441","https://openalex.org/W1873960414","https://openalex.org/W1905823147","https://openalex.org/W1966184590","https://openalex.org/W1990379137","https://openalex.org/W2034592489","https://openalex.org/W2057537221","https://openalex.org/W2061165362","https://openalex.org/W2100011707","https://openalex.org/W2104154419","https://openalex.org/W2121081824","https://openalex.org/W2131187707","https://openalex.org/W2133756959","https://openalex.org/W2137134709","https://openalex.org/W2142696311","https://openalex.org/W2150014120","https://openalex.org/W2290580537","https://openalex.org/W2342557357","https://openalex.org/W2598058139","https://openalex.org/W2887347337","https://openalex.org/W2900537783","https://openalex.org/W2944111576","https://openalex.org/W2977705715","https://openalex.org/W3005817038","https://openalex.org/W3049352483","https://openalex.org/W3084034510","https://openalex.org/W3098610666","https://openalex.org/W3122767893","https://openalex.org/W3123057134","https://openalex.org/W3123085367","https://openalex.org/W3123838679","https://openalex.org/W3125454863","https://openalex.org/W3125648595","https://openalex.org/W3157994947","https://openalex.org/W3159395582","https://openalex.org/W3165776474","https://openalex.org/W3173940100","https://openalex.org/W4232257492","https://openalex.org/W4233620396","https://openalex.org/W4241344282","https://openalex.org/W4283451314","https://openalex.org/W4285333991","https://openalex.org/W4402782272","https://openalex.org/W6679760793","https://openalex.org/W6688157516","https://openalex.org/W6824494882","https://openalex.org/W7143589294"],"related_works":["https://openalex.org/W2505925597","https://openalex.org/W33851711","https://openalex.org/W2363171451","https://openalex.org/W4250107978","https://openalex.org/W3048142416","https://openalex.org/W2386799696","https://openalex.org/W1991112490","https://openalex.org/W634388619","https://openalex.org/W2976038681","https://openalex.org/W2362822530"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2016,"cited_by_count":1}],"updated_date":"2026-04-01T17:29:45.350535","created_date":"2025-10-10T00:00:00"}