Analyzing the influence of indexing strategies on investors’ behavior and asset pricing through agent-based modeling: Smart beta and financial markets

研究成果: Conference contribution

抄録

This study analyzes the influence of indexing strategy on investors’ behavior and financial markets through agent-based modeling. In this analysis, I focus on smart beta index, which is proposed as a newstock index and condsidered to have better characteristics than traditional market capitalization-weighted indices. As a result of intensive computational simulation studies, we have concluded that a smart beta strategy is effective even in cases where the initial number of smart beta investors is small. This study also finds a significant relationship between the number of smart beta investors and trading volume. These results are significant from both practical and academic viewpoints.

本文言語English
ホスト出版物のタイトルAgent and Multi-Agent Systems: Technology and Applications - 10th KES International Conference, KES-AMSTA 2016, Proceedings
出版社Springer Science and Business Media Deutschland GmbH
ページ331-340
ページ数10
58
ISBN(印刷版)9783319398822
DOI
出版ステータスPublished - 2016
イベント10th KES International Conference on Agent and Multi-Agent Systems: Technology and Applications, KES-AMSTA 2016 - Puerto de la Cruz, Tenerife, Spain
継続期間: 2016 6 152016 6 17

出版物シリーズ

名前Smart Innovation, Systems and Technologies
58
ISSN(印刷版)21903018
ISSN(電子版)21903026

Other

Other10th KES International Conference on Agent and Multi-Agent Systems: Technology and Applications, KES-AMSTA 2016
CountrySpain
CityPuerto de la Cruz, Tenerife
Period16/6/1516/6/17

ASJC Scopus subject areas

  • Computer Science(all)
  • Decision Sciences(all)

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