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

Hiroshi Takahashi

doi:10.1109/COMPSACW.2014.75

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

Hiroshi Takahashi

Graduate School of Business Administration

Research output: Chapter in Book/Report/Conference proceeding › Conference 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 language	English
Title of host publication	Proceedings - IEEE 38th Annual International Computers, Software and Applications Conference Workshops, COMPSACW 2014
Editors	Cristina Seceleanu, Bruce McMillin, Carl K. Chang, Yan Gao, Kenichi Yoshida, Ali Hurson, Yasuo Okabe, Mihhail Matskin
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	444-449
Number of pages	6
ISBN (Electronic)	9781479935789
DOIs	https://doi.org/10.1109/COMPSACW.2014.75
Publication status	Published - 2014 Sept 18
Event	38th Annual IEEE Computer Software and Applications Conference Workshops, COMPSACW 2014 - Vasteras, Sweden Duration: 2014 Jul 27 → 2014 Jul 29

Publication series

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

Other

Other	38th Annual IEEE Computer Software and Applications Conference Workshops, COMPSACW 2014
Country/Territory	Sweden
City	Vasteras
Period	14/7/27 → 14/7/29

Keywords

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

ASJC Scopus subject areas

Computer Science Applications
Software

Access to Document

10.1109/COMPSACW.2014.75

Cite this

Takahashi, H. (2014). Analyzing the role of noise trader in financial markets through agent-based modelling. In C. Seceleanu, B. McMillin, C. K. Chang, Y. Gao, K. Yoshida, A. Hurson, Y. Okabe, & M. Matskin (Eds.), Proceedings - IEEE 38th Annual International Computers, Software and Applications Conference Workshops, COMPSACW 2014 (pp. 444-449). [6903170] (Proceedings - IEEE 38th Annual International Computers, Software and Applications Conference Workshops, COMPSACW 2014). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/COMPSACW.2014.75

Analyzing the role of noise trader in financial markets through agent-based modelling. / Takahashi, Hiroshi.

Proceedings - IEEE 38th Annual International Computers, Software and Applications Conference Workshops, COMPSACW 2014. ed. / Cristina Seceleanu; Bruce McMillin; Carl K. Chang; Yan Gao; Kenichi Yoshida; Ali Hurson; Yasuo Okabe; Mihhail Matskin. Institute of Electrical and Electronics Engineers Inc., 2014. p. 444-449 6903170 (Proceedings - IEEE 38th Annual International Computers, Software and Applications Conference Workshops, COMPSACW 2014).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Takahashi, H 2014, Analyzing the role of noise trader in financial markets through agent-based modelling. in C Seceleanu, B McMillin, CK Chang, Y Gao, K Yoshida, A Hurson, Y Okabe & M Matskin (eds), Proceedings - IEEE 38th Annual International Computers, Software and Applications Conference Workshops, COMPSACW 2014., 6903170, Proceedings - IEEE 38th Annual International Computers, Software and Applications Conference Workshops, COMPSACW 2014, Institute of Electrical and Electronics Engineers Inc., pp. 444-449, 38th Annual IEEE Computer Software and Applications Conference Workshops, COMPSACW 2014, Vasteras, Sweden, 14/7/27. https://doi.org/10.1109/COMPSACW.2014.75

Takahashi H. Analyzing the role of noise trader in financial markets through agent-based modelling. In Seceleanu C, McMillin B, Chang CK, Gao Y, Yoshida K, Hurson A, Okabe Y, Matskin M, editors, Proceedings - IEEE 38th Annual International Computers, Software and Applications Conference Workshops, COMPSACW 2014. Institute of Electrical and Electronics Engineers Inc. 2014. p. 444-449. 6903170. (Proceedings - IEEE 38th Annual International Computers, Software and Applications Conference Workshops, COMPSACW 2014). doi: 10.1109/COMPSACW.2014.75

Takahashi, Hiroshi. / Analyzing the role of noise trader in financial markets through agent-based modelling. Proceedings - IEEE 38th Annual International Computers, Software and Applications Conference Workshops, COMPSACW 2014. editor / Cristina Seceleanu ; Bruce McMillin ; Carl K. Chang ; Yan Gao ; Kenichi Yoshida ; Ali Hurson ; Yasuo Okabe ; Mihhail Matskin. Institute of Electrical and Electronics Engineers Inc., 2014. pp. 444-449 (Proceedings - IEEE 38th Annual International Computers, Software and Applications Conference Workshops, COMPSACW 2014).

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

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Keywords

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Access to Document

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