TY - GEN
T1 - Analyzing the role of noise trader in financial markets through agent-based modelling
AU - Takahashi, Hiroshi
N1 - Publisher Copyright:
© 2014 IEEE.
PY - 2014/9/18
Y1 - 2014/9/18
N2 - 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.
AB - 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.
KW - Agent-based modelling
KW - Asset Management
KW - Asset Pricing
KW - Behavioral Economics
KW - Finance
KW - Financial Markets
KW - Social Simulation
UR - http://www.scopus.com/inward/record.url?scp=84931025333&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84931025333&partnerID=8YFLogxK
U2 - 10.1109/COMPSACW.2014.75
DO - 10.1109/COMPSACW.2014.75
M3 - Conference contribution
AN - SCOPUS:84931025333
T3 - Proceedings - IEEE 38th Annual International Computers, Software and Applications Conference Workshops, COMPSACW 2014
SP - 444
EP - 449
BT - Proceedings - IEEE 38th Annual International Computers, Software and Applications Conference Workshops, COMPSACW 2014
A2 - Seceleanu, Cristina
A2 - McMillin, Bruce
A2 - Chang, Carl K.
A2 - Gao, Yan
A2 - Yoshida, Kenichi
A2 - Hurson, Ali
A2 - Okabe, Yasuo
A2 - Matskin, Mihhail
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 38th Annual IEEE Computer Software and Applications Conference Workshops, COMPSACW 2014
Y2 - 27 July 2014 through 29 July 2014
ER -