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.
|Title of host publication||Social Simulation|
|Subtitle of host publication||Technologies, Advances and New Discoveries|
|Number of pages||15|
|Publication status||Published - 2007 Dec 1|
ASJC Scopus subject areas
- Computer Science(all)
- Social Sciences(all)