An Analysis of the Influence of dispersion of Valuations on Financial Markets through Agent-Based Modeling
An Analysis of the Influence of dispersion of Valuations on Financial Markets through Agent-Based Modeling
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基于Agent的建模分析估值离散度对金融市场的影响
DOI：
10.1142/s0219622012500071
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发表时间：
2012
期刊：
影响因子：
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通讯作者：
Hiroshi Takahashi
中科院分区：
文献类型：
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作者：
Hiroshi Takahashi
本研究分析了估值分散对金融市场的影响，考虑了真实金融市场的几个方面（如资金约束、投资策略等）。通过深入的市场实验，我们发现：(1)当资金约束不存在时，基本面派的估值分散性对市场影响不大；(2)当引入财务限制- -例如卖空限制- -时，就会出现某些情况，根据估值的分散程度，偏离基本价值的情况变得更大；(3)与传统金融理论一致的被动投资策略，即使在引入金融约束导致市场价格严重偏离基本价值的情况下也是有效的。这些结果有助于澄清金融市场价格波动的机制，从学术和实践的角度来看都是值得注意的。
This research analyzes the influence of dispersion of valuations on financial markets, taking several aspects of real financial market into consideration (such as financial constraints, investment strategies and so on). As a result of intensive experiments in the market, we made the following findings: (1) Dispersion of fundamentalists' valuations has little effect on the market when financial constraints are absent; (2) When financial constraints — such as short-sale constraints — are introduced, certain situations arise in which deviations from fundamental values become larger, according to the level of the dispersion of valuations; (3) A passive investment strategy, as is consistent with traditional financial theory, is valid even when the introduction of financial constraints causes market prices to deviate significantly from fundamental values. These results contribute to clarifying the mechanism of price fluctuations in financial markets and are notable from both academic and practical view points.
通过基于代理的建模分析金融市场的微观宏观结构，
DOI：
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发表时间：
2007
期刊：
影响因子：
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作者：
Hiroshi Takahashi;Takao Terano
通讯作者：
Takao Terano
20世纪70年代欧洲性别平等话语的互动与分歧
DOI：
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发表时间：
2022
期刊：
影响因子：
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作者：
Okada Isamu;Yanagi Itaru;Kubo Yoshiaki;Kikuchi Hirokazu;清水純;福田円;網谷龍介
通讯作者：
網谷龍介