@inproceedings{b30bf849d61a4d75b407f6bc942e2b74,
title = "Analyzing the influence of indexing strategies on investors{\textquoteright} behavior and asset pricing through agent-based modeling: Smart beta and financial markets",
abstract = "This study analyzes the influence of indexing strategy on investors{\textquoteright} behavior and financial markets through agent-based modeling. In this analysis, I focus on smart beta index, which is proposed as a newstock index and condsidered to have better characteristics than traditional market capitalization-weighted indices. As a result of intensive computational simulation studies, we have concluded that a smart beta strategy is effective even in cases where the initial number of smart beta investors is small. This study also finds a significant relationship between the number of smart beta investors and trading volume. These results are significant from both practical and academic viewpoints.",
keywords = "Agent-based model, Asset management business, Financial markets, Smart beta, Stock indices",
author = "Hiroshi Takahashi",
year = "2016",
doi = "10.1007/978-3-319-39883-9_27",
language = "English",
isbn = "9783319398822",
volume = "58",
series = "Smart Innovation, Systems and Technologies",
publisher = "Springer Science and Business Media Deutschland GmbH",
pages = "331--340",
booktitle = "Agent and Multi-Agent Systems: Technology and Applications - 10th KES International Conference, KES-AMSTA 2016, Proceedings",
note = "10th KES International Conference on Agent and Multi-Agent Systems: Technology and Applications, KES-AMSTA 2016 ; Conference date: 15-06-2016 Through 17-06-2016",
}