Analyzing the Validity of Smart Beta in Financial Markets through Agent-Based Modeling

被引：0
作者：
Takahashi, Hiroshi [1 ]
机构：
[1] Keio Univ, Grad Sch Business Adm, Tokyo 108, Japan
来源：
IEEE 39TH ANNUAL COMPUTER SOFTWARE AND APPLICATIONS CONFERENCE WORKSHOPS (COMPSAC 2015), VOL 3 | 2015年
关键词：
Finance; Behavioral Economics; Agent-based modelling; Social Simulation; Asset Pricing; Financial Markets; Asset Management; Smart Beta;
D O I：
10.1109/COMPSAC.2015.168
中图分类号：
TP31 [计算机软件];
学科分类号：
081202 ; 0835 ;
摘要：
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.
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收藏
页码：361 / 366
页数：6
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