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

Hiroshi Takahashi

doi:10.1109/COMPSAC.2015.168

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

Hiroshi Takahashi

Graduate School of Business Administration

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

Abstract

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.

Original language	English
Title of host publication	Proceedings - International Computer Software and Applications Conference
Publisher	IEEE Computer Society
Pages	361-366
Number of pages	6
Volume	3
ISBN (Print)	9781467365635
DOIs	https://doi.org/10.1109/COMPSAC.2015.168
Publication status	Published - 2015 Sept 21
Event	39th IEEE Annual Computer Software and Applications Conference Workshops, COMPSACW 2015 - Taichung, Taiwan, Province of China Duration: 2015 Jul 1 → 2015 Jul 5

Other

Other	39th IEEE Annual Computer Software and Applications Conference Workshops, COMPSACW 2015
Country/Territory	Taiwan, Province of China
City	Taichung
Period	15/7/1 → 15/7/5

Keywords

Agent-based modelling
Asset Pricing
Behavioral Economics
Finance
Financial Markets, Asset Management
Smart Beta
Social Simulation

ASJC Scopus subject areas

Computer Science Applications
Software

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10.1109/COMPSAC.2015.168

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Takahashi, H 2015, Analyzing the validity of smart beta in financial markets through agent-based modeling. in Proceedings - International Computer Software and Applications Conference. vol. 3, 7273385, IEEE Computer Society, pp. 361-366, 39th IEEE Annual Computer Software and Applications Conference Workshops, COMPSACW 2015, Taichung, Taiwan, Province of China, 15/7/1. https://doi.org/10.1109/COMPSAC.2015.168

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

Abstract

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Keywords

ASJC Scopus subject areas

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