Analyzing the validity of smart beta in financial markets through agent-based modeling

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

Abstract

This study analyzes the effectiveness of smart beta, which is proposed as a new stock index, through agent-based modeling. As a result of intensive experiments in the market, I found that the effectiveness of smart beta could be influenced by the extent of the diversity in investors' behavior. These results are significant from both practical and academic viewpoints.

Original languageEnglish
Title of host publicationProceedings - International Computer Software and Applications Conference
PublisherIEEE Computer Society
Pages361-366
Number of pages6
Volume3
ISBN (Print)9781467365635
DOIs
Publication statusPublished - 2015 Sep 21
Event39th IEEE Annual Computer Software and Applications Conference Workshops, COMPSACW 2015 - Taichung, Taiwan, Province of China
Duration: 2015 Jul 12015 Jul 5

Other

Other39th IEEE Annual Computer Software and Applications Conference Workshops, COMPSACW 2015
CountryTaiwan, Province of China
CityTaichung
Period15/7/115/7/5

Keywords

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

ASJC Scopus subject areas

  • Computer Science Applications
  • Software

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  • Cite this

    Takahashi, H. (2015). Analyzing the validity of smart beta in financial markets through agent-based modeling. In Proceedings - International Computer Software and Applications Conference (Vol. 3, pp. 361-366). [7273385] IEEE Computer Society. https://doi.org/10.1109/COMPSAC.2015.168