Analyzing the validity of passive investment strategies employing fundamental indices through agent-based simulation

Hiroshi Takahashi, Satoru Takahashi, Takao Terano

研究成果: Conference contribution

6 被引用数 (Scopus)

抄録

This research analyzes the influence of indices which are employed in the asset management business on financial markets through agent-based simulation. In this analysis, we focus on a fundamental index, which has been proposed as a new benchmark for investments in place of price indices, which are currently employed in practical business affairs. As a result of intensive experiments in the market, we made the following interesting findings: (1) fundamental indexing works as effectively as a price indexing in the market when market prices reflect fundamental values; (2) fundamental indexing contributes to market efficiency. However, we also found drawbacks to fundamental indexing, such as the risk of destabilizing markets when too many investors employ passive investment strategies using the fundamental index. These results are significant from both practical and academic viewpoints. These analyses also demonstrate the effectiveness of agent-based techniques for financial research.

本文言語English
ホスト出版物のタイトルAgent and Multi-Agent Systems
ホスト出版物のサブタイトルTechnologies and Applications - 5th KES International Conference, KES-AMSTA 2011, Proceedings
ページ180-189
ページ数10
DOI
出版ステータスPublished - 2011 7 19
イベント5th KES International Conference on Agent and Multi-Agent Systems: Technologies and Applications, KES-AMSTA 2011 - Manchester, United Kingdom
継続期間: 2011 6 292011 7 1

出版物シリーズ

名前Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
6682 LNAI
ISSN(印刷版)0302-9743
ISSN(電子版)1611-3349

Other

Other5th KES International Conference on Agent and Multi-Agent Systems: Technologies and Applications, KES-AMSTA 2011
国/地域United Kingdom
CityManchester
Period11/6/2911/7/1

ASJC Scopus subject areas

  • 理論的コンピュータサイエンス
  • コンピュータ サイエンス(全般)

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