Analyzing the validity of smart beta in financial markets through agent-based modeling

研究成果: Conference contribution

抜粋

This study analyzes the effectiveness of smart beta, which is proposed as a new stock index, through agent-based modeling. As a result of intensive experiments in the market, I found that the effectiveness of smart beta could be influenced by the extent of the diversity in investors' behavior. These results are significant from both practical and academic viewpoints.

元の言語English
ホスト出版物のタイトルProceedings - International Computer Software and Applications Conference
出版者IEEE Computer Society
ページ361-366
ページ数6
3
ISBN(印刷物)9781467365635
DOI
出版物ステータスPublished - 2015 9 21
イベント39th IEEE Annual Computer Software and Applications Conference Workshops, COMPSACW 2015 - Taichung, Taiwan, Province of China
継続期間: 2015 7 12015 7 5

Other

Other39th IEEE Annual Computer Software and Applications Conference Workshops, COMPSACW 2015
Taiwan, Province of China
Taichung
期間15/7/115/7/5

ASJC Scopus subject areas

  • Computer Science Applications
  • Software

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  • これを引用

    Takahashi, H. (2015). Analyzing the validity of smart beta in financial markets through agent-based modeling. : Proceedings - International Computer Software and Applications Conference (巻 3, pp. 361-366). [7273385] IEEE Computer Society. https://doi.org/10.1109/COMPSAC.2015.168