Impact Analysis of Index Investments on Market Price Formation via Simulation
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- MATSUURA Izuru
- School of Engineering, the University of Tokyo
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- IZUMI Kiyoshi
- School of Engineering, the University of Tokyo
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- SAKAJI Hiroki
- School of Engineering, the University of Tokyo
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- MATSUSHIMA Hiroyasu
- School of Engineering, the University of Tokyo
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- SHIMADA Takashi
- School of Engineering, the University of Tokyo
Bibliographic Information
- Other Title
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- シミュレーションによるインデックス投資の市場価格形成への影響分析
Abstract
<p>In this paper, we modeled stock markets to investigate the effect of index investing on stock price formation. We showed that index investing has little effect on stock price formation in our stock markets model by analyzing results from experiments with various market settings.</p>
Journal
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- JSAI Technical Report, Type 2 SIG
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JSAI Technical Report, Type 2 SIG 2019 (FIN-022), 116-, 2019-03-03
The Japanese Society for Artificial Intelligence
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Details 詳細情報について
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- CRID
- 1390575893752319488
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- ISSN
- 24365556
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- Text Lang
- ja
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- Data Source
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- JaLC
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- Abstract License Flag
- Allowed