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

Hiroshi Takahashi; Satoru Takahashi; Takao Terano

doi:10.4018/978-1-59904-522-1.ch017

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 proceeding › Chapter

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 language	English
Title of host publication	Social Simulation
Subtitle of host publication	Technologies, Advances and New Discoveries
Publisher	IGI Global
Pages	224-238
Number of pages	15
ISBN (Print)	9781599045221
DOIs	https://doi.org/10.4018/978-1-59904-522-1.ch017
Publication status	Published - 2007 Dec 1
Externally published	Yes

ASJC Scopus subject areas

Computer Science(all)
Social Sciences(all)

Access to Document

10.4018/978-1-59904-522-1.ch017

Cite this

@inbook{ff9d60bb0bbc457a94f056a82feb290e,

title = "Analyzing the influences of passive investment strategies on financial markets via agent-based modeling",

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.",

author = "Hiroshi Takahashi and Satoru Takahashi and Takao Terano",

year = "2007",

month = dec,

day = "1",

doi = "10.4018/978-1-59904-522-1.ch017",

language = "English",

isbn = "9781599045221",

pages = "224--238",

booktitle = "Social Simulation",

publisher = "IGI Global",

}

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 - 2007/12/1

Y1 - 2007/12/1

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

PB - IGI Global

ER -

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

Abstract

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this