抄録
This chapter develops an agent-based model to analyze microscopic and macroscopic links between investor behaviors and price fluctuations in a financial market. This analysis focusses on the effects of passive investment strategy in a financial market. From the extensive analyses, we have found that (1) passive investment strategy is valid in a realistic efficient market, however, it could have bad influences such as market instability and inadequate asset pricing deviations, and (2) under certain assumptions, passive investment strategy and active investment strategy could coexist in a financial market.
| 本文言語 | English |
|---|---|
| ホスト出版物のタイトル | Social Simulation |
| ホスト出版物のサブタイトル | Technologies, Advances and New Discoveries |
| 出版社 | IGI Global |
| ページ | 224-238 |
| ページ数 | 15 |
| ISBN（印刷版） | 9781599045221 |
| DOI | |
| 出版ステータス | Published - 2007 12月 1 |
| 外部発表 | はい |
ASJC Scopus subject areas
- コンピュータ サイエンス（全般）
- 社会科学（全般）