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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.
This article investigates the role of noise traders in financial markets by using an agent-based model. In this study, I analyze the market where various kinds of investors, including fundamentalists and investors who employ a passive investment strategy (which is one of the most popular investment strategies in the asset management business), are present. As a result of intensive experimentation,...
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