scholarly journals Financial Market Analysis of Bombay Stock Exchange using an Agent Based Model

2010 ◽  
Vol 8 (13) ◽  
pp. 37-42 ◽  
Author(s):  
PN Kumar ◽  
Rahul.G Seshadri ◽  
A Hariharan. ◽  
VP Mohandas
Keyword(s):  
Financial Market ◽  
Stock Exchange ◽  
Market Analysis ◽  
Agent Based Model ◽  
Agent Based ◽  
Financial Market Analysis

Analyzing the Influences of Passive Investment Strategies on Financial Markets via Agent-Based Modeling

2008 ◽  
pp. 224-238 ◽  
Author(s):  
Hiroshi Takahashi ◽  
Satoru Takahashi ◽  
Takao Terano
Keyword(s):  
Asset Pricing ◽  
Financial Markets ◽  
Financial Market ◽  
Investment Strategy ◽  
Agent Based Modeling ◽  
Investment Strategies ◽  
Agent Based Model ◽  
Efficient Market ◽  
Agent Based ◽  
Price Fluctuations

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 focuses 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 instability of market and inadequate asset pricing deviations, and (2) under certain assumptions, Passive Investment Strategy and Active Investment Strategy could coexist in a Financial Market.

scholarly journals Behavior of financial markets efficiency during the financial market crisis: 2007 – 2009

2014 ◽  
Vol 11 (2) ◽  
pp. 473-487 ◽  
Author(s):  
Ronald Henry Mynhardt ◽  
Alexey Plastun ◽  
Inna Makarenko
Keyword(s):  
Financial Markets ◽  
Market Efficiency ◽  
Financial Market ◽  
Hurst Exponent ◽  
Developed Countries ◽  
Market Analysis ◽  
Financial Market Crisis ◽  
Financial Market Analysis

This paper examines the behavior of financial markets efficiency during the recent financial market crisis. Using the Hurst exponent as a criterion of market efficiency we show that level of market efficiency is different for pre-crisis and crisis periods. We also classify financial markets of different countries by the level of their efficiency and reaffirm that financial markets of developed countries are more efficient than the developing ones. Based on Ukrainian financial market analysis we show the reasons of inefficiency of financial markets and provide some recommendations on their solution and thus improving the efficiency.

scholarly journals Corrigendum to “The Influence of Confidence and Social Networks on an Agent-Based Model of Stock Exchange”

Complexity ◽  
2022 ◽  
Vol 2022 ◽  
pp. 1-1
Author(s):  
Mario A. Bertella ◽  
Jonathas N. Silva ◽  
André L. Correa ◽  
Didier Sornette
Keyword(s):  
Social Networks ◽  
Stock Exchange ◽  
Agent Based Model ◽  
Agent Based

Robert Engle and Clive Granger: New Spheres of Economic Research (Nobel Prize in Economics 2003)

2004 ◽  
pp. 37-48
Author(s):  
G. Kantorovich ◽  
M. Touruntseva
Keyword(s):  
Time Series ◽  
Financial Market ◽  
Nobel Prize ◽  
Financial Time Series ◽  
Market Analysis ◽  
Time Series Model ◽  
Economic Research ◽  
Estimation Methods ◽  
Financial Time ◽  
Financial Market Analysis

This paper is dedicated to the achievements of Robert Engle and Clive Granger which allowed to overcome a serious crisis in macroeconomics and financial market analysis. The main concepts of cointegration theory and different estimation methods of cointegration equations are considered in the first part of the paper. The areas of application of cointegration theory and possible extensions are briefly described as well. The financial time series model with conditional heteroskedastisity is analyzed in the second part of the paper. The main prerequisites of the method suggested by R. Engle are formulated and its extensions and areas of application are defined.

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