Exploring Investment Strategies in Financial Markets through Agent-based Modeling: Active Investment Strategy and Passive Investment Strategy Exploring Investment Strategies in Financial Markets through Agent-based Modeling: Active Investment Strategy and Passive Investment Strategy

Recent progress of computer technology makes it possible to analyze financial and economic systems through simulation studies. Among them, agent-based modeling is promising. In this paper, using agentbased modeling from distributed artificial intelligence, I discuss the validity of passive investment strategies in financial markets where active investors who hold future information exist. As a result of intensive experiments, I made the following findings: (1) active investing could get positive excess return from the short-term view point; (2) passive investing, as is consistent with traditional financial theory, is valid even when the introduction of active investors holding future information. These results contribute to clarifying the mechanism of price fluctuations in financial markets and are notable from both academic and practical view points.