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
Analyzing the influences of passive investment strategies on financial markets via agent-based modeling. / Takahashi, Hiroshi; Takahashi, Satoru; Terano, Takao.
Social Simulation: Technologies, Advances and New Discoveries. IGI Global, 2007. p. 224-238.Research output: Chapter in Book/Report/Conference proceeding › Chapter
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TY - CHAP
T1 - Analyzing the influences of passive investment strategies on financial markets via agent-based modeling
AU - Takahashi, Hiroshi
AU - Takahashi, Satoru
AU - Terano, Takao
PY - 2007
Y1 - 2007
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=84898363626&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84898363626&partnerID=8YFLogxK
U2 - 10.4018/978-1-59904-522-1.ch017
DO - 10.4018/978-1-59904-522-1.ch017
M3 - Chapter
AN - SCOPUS:84898363626
SN - 9781599045221
SP - 224
EP - 238
BT - Social Simulation: Technologies, Advances and New Discoveries
PB - IGI Global
ER -