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

研究成果: Conference contribution

抄録

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.

本文言語English
ホスト出版物のタイトルProceedings - International Computer Software and Applications Conference
出版社IEEE Computer Society
ページ361-366
ページ数6
3
ISBN(印刷版)9781467365635
DOI
出版ステータス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
国/地域Taiwan, Province of China
CityTaichung
Period15/7/115/7/5

ASJC Scopus subject areas

  • コンピュータ サイエンスの応用
  • ソフトウェア

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