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Analysis Passive Investment Strategies and Asset Price Fluctuation in Financial Market Through Agent

  • Hiroshi Takahashi
  • Satoru Takahashi
  • Kazuhiko Tsuda
  • Takao Terano
Conference paper
Part of the Agent-Based Social Systems book series (ABSS, volume 1)

Summary

In this paper, using agent-based models, we discuss the effects of Passive Investment Strategies in asset management business. Although the Passive Investment Strategy is an effective way in efficient markets, Behavioral Finance points out that markets aren’t always efficient. We build a virtual financial market which consists of a thousand investors and allows them to trade two types of assets: a stock and a riskless asset. In this market, multiple types of investors exist and conduct trades based on the investment rules defined for each type. The experiments suggest that Passive Investment is valid in a realistic efficient market, yet it could have bad influences such as market instability and inadequate asset pricing deviation.

Key words

Financial Engineering Behavioral Finance Distributed Artificial Intelligence Agent-Based Modeling Passive Investment Strategy 

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Copyright information

© Springer-Verlag Tokyo 2005

Authors and Affiliations

  • Hiroshi Takahashi
    • 1
  • Satoru Takahashi
    • 1
    • 2
  • Kazuhiko Tsuda
    • 2
  • Takao Terano
    • 2
    • 3
  1. 1.Investment Engineering Group, Quantitative Investment DepartmentMitsui Asset Trust and BankingTokyoJapan
  2. 2.University of TsukubaTokyoJapan
  3. 3.Tokyo Institute of TechnologyKanagawaJapan

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