Analyzing the influence of fundamental indexing through inverse simulation analysis

Hiroshi Takahashi; Satoru Takahashi; Takao Terano

Analyzing the influence of fundamental indexing through inverse simulation analysis

Hiroshi Takahashi, Satoru Takahashi, Takao Terano

Graduate School of Business Administration

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Abstract

This research analyzes the validity of fundamental indexing in financial markets. As a result of intensive experiments in the market, we made the following findings: (1) fundamental indexing works as effectively as price indexing in the market when market prices reflect fundamental values; (2) fundamental indexing contributes to market efficiency.

Original language	English
Title of host publication	SICE 2011 - SICE Annual Conference 2011, Final Program and Abstracts
Publisher	Society of Instrument and Control Engineers (SICE)
Pages	514-515
Number of pages	2
ISBN (Print)	9784907764395
Publication status	Published - 2011 Jan 1
Event	50th Annual Conference on Society of Instrument and Control Engineers, SICE 2011 - Tokyo, Japan Duration: 2011 Sept 13 → 2011 Sept 18

Publication series

Name	Proceedings of the SICE Annual Conference

Other

Other	50th Annual Conference on Society of Instrument and Control Engineers, SICE 2011
Country/Territory	Japan
City	Tokyo
Period	11/9/13 → 11/9/18

Keywords

Agent-based modeling
Behavioral economics
Financial markets
Fundamental indexation

ASJC Scopus subject areas

Control and Systems Engineering
Computer Science Applications
Electrical and Electronic Engineering

Cite this

Analyzing the influence of fundamental indexing through inverse simulation analysis. / Takahashi, Hiroshi; Takahashi, Satoru; Terano, Takao.
SICE 2011 - SICE Annual Conference 2011, Final Program and Abstracts. Society of Instrument and Control Engineers (SICE), 2011. p. 514-515 6060712 (Proceedings of the SICE Annual Conference).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Takahashi, H, Takahashi, S & Terano, T 2011, Analyzing the influence of fundamental indexing through inverse simulation analysis. in SICE 2011 - SICE Annual Conference 2011, Final Program and Abstracts., 6060712, Proceedings of the SICE Annual Conference, Society of Instrument and Control Engineers (SICE), pp. 514-515, 50th Annual Conference on Society of Instrument and Control Engineers, SICE 2011, Tokyo, Japan, 11/9/13.

@inproceedings{0db65701dc7b4c549c5235141509e10f,

title = "Analyzing the influence of fundamental indexing through inverse simulation analysis",

abstract = "This research analyzes the validity of fundamental indexing in financial markets. As a result of intensive experiments in the market, we made the following findings: (1) fundamental indexing works as effectively as price indexing in the market when market prices reflect fundamental values; (2) fundamental indexing contributes to market efficiency.",

keywords = "Agent-based modeling, Behavioral economics, Financial markets, Fundamental indexation",

author = "Hiroshi Takahashi and Satoru Takahashi and Takao Terano",

year = "2011",

month = jan,

day = "1",

language = "English",

isbn = "9784907764395",

series = "Proceedings of the SICE Annual Conference",

publisher = "Society of Instrument and Control Engineers (SICE)",

pages = "514--515",

booktitle = "SICE 2011 - SICE Annual Conference 2011, Final Program and Abstracts",

note = "50th Annual Conference on Society of Instrument and Control Engineers, SICE 2011 ; Conference date: 13-09-2011 Through 18-09-2011",

}

TY - GEN

T1 - Analyzing the influence of fundamental indexing through inverse simulation analysis

AU - Takahashi, Hiroshi

AU - Takahashi, Satoru

AU - Terano, Takao

PY - 2011/1/1

Y1 - 2011/1/1

N2 - This research analyzes the validity of fundamental indexing in financial markets. As a result of intensive experiments in the market, we made the following findings: (1) fundamental indexing works as effectively as price indexing in the market when market prices reflect fundamental values; (2) fundamental indexing contributes to market efficiency.

AB - This research analyzes the validity of fundamental indexing in financial markets. As a result of intensive experiments in the market, we made the following findings: (1) fundamental indexing works as effectively as price indexing in the market when market prices reflect fundamental values; (2) fundamental indexing contributes to market efficiency.

KW - Agent-based modeling

KW - Behavioral economics

KW - Financial markets

KW - Fundamental indexation

UR - http://www.scopus.com/inward/record.url?scp=81355142362&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=81355142362&partnerID=8YFLogxK

M3 - Conference contribution

AN - SCOPUS:81355142362

SN - 9784907764395

T3 - Proceedings of the SICE Annual Conference

SP - 514

EP - 515

BT - SICE 2011 - SICE Annual Conference 2011, Final Program and Abstracts

PB - Society of Instrument and Control Engineers (SICE)

T2 - 50th Annual Conference on Society of Instrument and Control Engineers, SICE 2011

Y2 - 13 September 2011 through 18 September 2011

ER -

Analyzing the influence of fundamental indexing through inverse simulation analysis

Abstract

Publication series

Other

Keywords

ASJC Scopus subject areas

Other files and links

Fingerprint

Cite this