Analyzing the influence of indexing strategies on investors’ behavior and asset pricing through agent-based modeling: Smart beta and financial markets

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

Abstract

This study analyzes the influence of indexing strategy on investors’ behavior and financial markets through agent-based modeling. In this analysis, I focus on smart beta index, which is proposed as a newstock index and condsidered to have better characteristics than traditional market capitalization-weighted indices. As a result of intensive computational simulation studies, we have concluded that a smart beta strategy is effective even in cases where the initial number of smart beta investors is small. This study also finds a significant relationship between the number of smart beta investors and trading volume. These results are significant from both practical and academic viewpoints.

Original languageEnglish
Title of host publicationAgent and Multi-Agent Systems: Technology and Applications - 10th KES International Conference, KES-AMSTA 2016, Proceedings
PublisherSpringer Science and Business Media Deutschland GmbH
Pages331-340
Number of pages10
Volume58
ISBN (Print)9783319398822
DOIs
Publication statusPublished - 2016
Event10th KES International Conference on Agent and Multi-Agent Systems: Technology and Applications, KES-AMSTA 2016 - Puerto de la Cruz, Tenerife, Spain
Duration: 2016 Jun 152016 Jun 17

Publication series

NameSmart Innovation, Systems and Technologies
Volume58
ISSN (Print)21903018
ISSN (Electronic)21903026

Other

Other10th KES International Conference on Agent and Multi-Agent Systems: Technology and Applications, KES-AMSTA 2016
CountrySpain
CityPuerto de la Cruz, Tenerife
Period16/6/1516/6/17

Fingerprint

Costs
Investor behavior
Indexing
Agent-based modeling
Asset pricing
Financial markets
Investors
Simulation study
Trading volume
Market capitalization

Keywords

  • Agent-based model
  • Asset management business
  • Financial markets
  • Smart beta
  • Stock indices

ASJC Scopus subject areas

  • Computer Science(all)
  • Decision Sciences(all)

Cite this

Takahashi, H. (2016). Analyzing the influence of indexing strategies on investors’ behavior and asset pricing through agent-based modeling: Smart beta and financial markets. In Agent and Multi-Agent Systems: Technology and Applications - 10th KES International Conference, KES-AMSTA 2016, Proceedings (Vol. 58, pp. 331-340). (Smart Innovation, Systems and Technologies; Vol. 58). Springer Science and Business Media Deutschland GmbH. https://doi.org/10.1007/978-3-319-39883-9_27

Analyzing the influence of indexing strategies on investors’ behavior and asset pricing through agent-based modeling : Smart beta and financial markets. / Takahashi, Hiroshi.

Agent and Multi-Agent Systems: Technology and Applications - 10th KES International Conference, KES-AMSTA 2016, Proceedings. Vol. 58 Springer Science and Business Media Deutschland GmbH, 2016. p. 331-340 (Smart Innovation, Systems and Technologies; Vol. 58).

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

Takahashi, H 2016, Analyzing the influence of indexing strategies on investors’ behavior and asset pricing through agent-based modeling: Smart beta and financial markets. in Agent and Multi-Agent Systems: Technology and Applications - 10th KES International Conference, KES-AMSTA 2016, Proceedings. vol. 58, Smart Innovation, Systems and Technologies, vol. 58, Springer Science and Business Media Deutschland GmbH, pp. 331-340, 10th KES International Conference on Agent and Multi-Agent Systems: Technology and Applications, KES-AMSTA 2016, Puerto de la Cruz, Tenerife, Spain, 16/6/15. https://doi.org/10.1007/978-3-319-39883-9_27
Takahashi H. Analyzing the influence of indexing strategies on investors’ behavior and asset pricing through agent-based modeling: Smart beta and financial markets. In Agent and Multi-Agent Systems: Technology and Applications - 10th KES International Conference, KES-AMSTA 2016, Proceedings. Vol. 58. Springer Science and Business Media Deutschland GmbH. 2016. p. 331-340. (Smart Innovation, Systems and Technologies). https://doi.org/10.1007/978-3-319-39883-9_27
Takahashi, Hiroshi. / Analyzing the influence of indexing strategies on investors’ behavior and asset pricing through agent-based modeling : Smart beta and financial markets. Agent and Multi-Agent Systems: Technology and Applications - 10th KES International Conference, KES-AMSTA 2016, Proceedings. Vol. 58 Springer Science and Business Media Deutschland GmbH, 2016. pp. 331-340 (Smart Innovation, Systems and Technologies).
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