Analyzing the influences of passive investment strategies on financial markets via agent-based modeling

Hiroshi Takahashi, Satoru Takahashi, Takao Terano

Research output: Chapter in Book/Report/Conference proceedingChapter

11 Citations (Scopus)

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 languageEnglish
Title of host publicationSocial Simulation: Technologies, Advances and New Discoveries
PublisherIGI Global
Pages224-238
Number of pages15
ISBN (Print)9781599045221
DOIs
Publication statusPublished - 2007
Externally publishedYes

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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