Analyzing the role of noise trader in financial markets through agent-based modelling

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

This article investigates the role of noise traders in financial markets by using an agent-based model. In this study, I analyze the market where various kinds of investors, including fundamentalists and investors who employ a passive investment strategy (which is one of the most popular investment strategies in the asset management business), are present. As a result of intensive experimentation, it was concluded that noise traders, such as investors who evaluate stock prices based on trends, averages, and latest prices, could contribute to the survival of fundamentalists and help to maintain market stability. These results are of both academic interest and practical use.

Original languageEnglish
Title of host publicationProceedings - IEEE 38th Annual International Computers, Software and Applications Conference Workshops, COMPSACW 2014
EditorsCristina Seceleanu, Bruce McMillin, Carl K. Chang, Yan Gao, Kenichi Yoshida, Ali Hurson, Yasuo Okabe, Mihhail Matskin
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages444-449
Number of pages6
ISBN (Electronic)9781479935789
DOIs
Publication statusPublished - 2014 Sep 18
Event38th Annual IEEE Computer Software and Applications Conference Workshops, COMPSACW 2014 - Vasteras, Sweden
Duration: 2014 Jul 272014 Jul 29

Publication series

NameProceedings - IEEE 38th Annual International Computers, Software and Applications Conference Workshops, COMPSACW 2014

Other

Other38th Annual IEEE Computer Software and Applications Conference Workshops, COMPSACW 2014
CountrySweden
CityVasteras
Period14/7/2714/7/29

Keywords

  • Agent-based modelling
  • Asset Management
  • Asset Pricing
  • Behavioral Economics
  • Finance
  • Financial Markets
  • Social Simulation

ASJC Scopus subject areas

  • Computer Science Applications
  • Software

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