Analyzing the influences of passive investment strategies on financial markets via agent-based modeling

Hiroshi Takahashi, Satoru Takahashi, Takao Terano

研究成果: Chapter

11 被引用数 (Scopus)

抄録

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.

本文言語English
ホスト出版物のタイトルSocial Simulation
ホスト出版物のサブタイトルTechnologies, Advances and New Discoveries
出版社IGI Global
ページ224-238
ページ数15
ISBN(印刷版)9781599045221
DOI
出版ステータスPublished - 2007 12 1
外部発表はい

ASJC Scopus subject areas

  • Computer Science(all)
  • Social Sciences(all)

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