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

机译：通过代理分析金融市场中的被动投资策略和资产价格波动

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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.

机译：在本文中，使用基于代理的模型，我们讨论了被动投资策略在资产管理业务中的作用。尽管被动投资策略是有效市场中的一种有效方法，但是行为金融学指出市场并不总是有效的。我们建立了一个虚拟的金融市场，该市场由一千名投资者组成，并允许他们交易两种资产：股票和无风险资产。在这个市场中，存在多种类型的投资者，并根据为每种类型定义的投资规则进行交易。实验表明，被动投资在现实有效的市场中是有效的，但它可能会产生不利影响，例如市场不稳定和资产价格偏差不足。

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来源
《International Workshop on Agent-Based Approaches in Economic and Social Complex Systems 2004(AESCS'04); 20040527-29; Kyoto University(JP)》|2004年|P.144-157|共14页
会议地点 Kyoto University(JP)
作者
Hiroshi TAKAHASHI; Satoru TAKAHASHI; Kazuhiko TSUDA; Takao TERANO;
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作者单位

Investment Engineering Group, Quantitative Investment Department, Mitsui Asset Trust and Banking, 3-23-1, Shiba, Minato-ku, Tokyo 105-8574, Japan;

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会议组织
原文格式 PDF
正文语种 eng
中图分类经济学基本问题;
关键词
financial engineering; behavioral finance; distributed artificial intelligence; agent-based modeling; passive investment strategy;

机译：金融工程;行为金融;分布式人工智能;基于主体的建模;被动投资策略;

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机译：具有异构代理的金融市场中的资产价格和财富动态

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

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