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

研究成果: Conference contribution

抄録

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.

本文言語English
ホスト出版物のタイトルProceedings - IEEE 38th Annual International Computers, Software and Applications Conference Workshops, COMPSACW 2014
編集者Cristina Seceleanu, Bruce McMillin, Carl K. Chang, Yan Gao, Kenichi Yoshida, Ali Hurson, Yasuo Okabe, Mihhail Matskin
出版社Institute of Electrical and Electronics Engineers Inc.
ページ444-449
ページ数6
ISBN(電子版)9781479935789
DOI
出版ステータスPublished - 2014 9 18
イベント38th Annual IEEE Computer Software and Applications Conference Workshops, COMPSACW 2014 - Vasteras, Sweden
継続期間: 2014 7 272014 7 29

出版物シリーズ

名前Proceedings - 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

ASJC Scopus subject areas

  • Computer Science Applications
  • Software

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