Analyzing the influence of fundamental indexing through inverse simulation analysis

Hiroshi Takahashi, Satoru Takahashi, Takao Terano

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

This research analyzes the validity of fundamental indexing in financial markets. As a result of intensive experiments in the market, we made the following findings: (1) fundamental indexing works as effectively as price indexing in the market when market prices reflect fundamental values; (2) fundamental indexing contributes to market efficiency.

Original languageEnglish
Title of host publicationSICE 2011 - SICE Annual Conference 2011, Final Program and Abstracts
PublisherSociety of Instrument and Control Engineers (SICE)
Pages514-515
Number of pages2
ISBN (Print)9784907764395
Publication statusPublished - 2011 Jan 1
Event50th Annual Conference on Society of Instrument and Control Engineers, SICE 2011 - Tokyo, Japan
Duration: 2011 Sep 132011 Sep 18

Publication series

NameProceedings of the SICE Annual Conference

Other

Other50th Annual Conference on Society of Instrument and Control Engineers, SICE 2011
CountryJapan
CityTokyo
Period11/9/1311/9/18

Keywords

  • Agent-based modeling
  • Behavioral economics
  • Financial markets
  • Fundamental indexation

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Computer Science Applications
  • Electrical and Electronic Engineering

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  • Cite this

    Takahashi, H., Takahashi, S., & Terano, T. (2011). Analyzing the influence of fundamental indexing through inverse simulation analysis. In SICE 2011 - SICE Annual Conference 2011, Final Program and Abstracts (pp. 514-515). [6060712] (Proceedings of the SICE Annual Conference). Society of Instrument and Control Engineers (SICE).