  A leveraged ETF is a fund aimed at achieving a rate of return several times
greater than that of the underlying asset such as Nikkei 225 futures. Recently,
it has been suggested that rebalancing trades of a leveraged ETF may
destabilize the financial markets. An empirical study using an agent-based
simulation indicated that a rebalancing trade strategy could affect the price
formation of an underlying asset market. However, no leveraged ETF trading
method for suppressing the increase in volatility as much as possible has yet
been proposed. In this paper, we compare different strategies of trading for a
proposed trading model and report the results of our investigation regarding
how best to suppress an increase in market volatility. As a result, it was
found that as the minimum number of orders in a rebalancing trade increases,
the impact on the market price formation decreases.
