Abstract
This chapter develops an agent-based model to analyze microscopic and macroscopic links between investor behaviors and price fluctuations in a financial market. This analysis focusses on the effects of passive investment strategy in a financial market. From the extensive analyses, we have found that (1) passive investment strategy is valid in a realistic efficient market, however, it could have bad influences such as market instability and inadequate asset pricing deviations, and (2) under certain assumptions, passive investment strategy and active investment strategy could coexist in a financial market.
| Original language | English |
|---|---|
| Title of host publication | Social Simulation: Technologies, Advances and New Discoveries |
| Publisher | IGI Global |
| Pages | 224-238 |
| Number of pages | 15 |
| ISBN (Print) | 9781599045221 |
| DOIs | |
| Publication status | Published - 2007 |
| Externally published | Yes |
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ASJC Scopus subject areas
- Computer Science(all)
- Social Sciences(all)
Cite this
Takahashi, H., Takahashi, S., & Terano, T. (2007). Analyzing the influences of passive investment strategies on financial markets via agent-based modeling. In Social Simulation: Technologies, Advances and New Discoveries (pp. 224-238). IGI Global. https://doi.org/10.4018/978-1-59904-522-1.ch017