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 publicationProceedings of the SICE Annual Conference
Pages514-515
Number of pages2
Publication statusPublished - 2011
Event50th Annual Conference on Society of Instrument and Control Engineers, SICE 2011 - Tokyo, Japan
Duration: 2011 Sep 132011 Sep 18

Other

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

Fingerprint

Experiments
Financial markets

Keywords

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

ASJC Scopus subject areas

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

Cite this

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

Analyzing the influence of fundamental indexing through inverse simulation analysis. / Takahashi, Hiroshi; Takahashi, Satoru; Terano, Takao.

Proceedings of the SICE Annual Conference. 2011. p. 514-515 6060712.

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

Takahashi, H, Takahashi, S & Terano, T 2011, Analyzing the influence of fundamental indexing through inverse simulation analysis. in Proceedings of the SICE Annual Conference., 6060712, pp. 514-515, 50th Annual Conference on Society of Instrument and Control Engineers, SICE 2011, Tokyo, Japan, 11/9/13.
Takahashi H, Takahashi S, Terano T. Analyzing the influence of fundamental indexing through inverse simulation analysis. In Proceedings of the SICE Annual Conference. 2011. p. 514-515. 6060712
Takahashi, Hiroshi ; Takahashi, Satoru ; Terano, Takao. / Analyzing the influence of fundamental indexing through inverse simulation analysis. Proceedings of the SICE Annual Conference. 2011. pp. 514-515
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