Title: Clarification of the price fluctuation mechanism in financial markets: disparity in forecast accuracy among investors and asset price fluctuations

Authors: Hiroshi Takahashi

Addresses: Graduate School of Business Administration, Keio University, Hiyoshi 4-1-1, Kohoku-ku, Yokohama City, 223-8526, Japan

Abstract: This research analysed the impact of the disparity in forecast accuracy among investors in the financial markets. This analysis has found the following interesting phenomena: 1) depending on market environments, investors with good forecast accuracy do not always survive in the market; 2) where the performance measurement period is short, there may be a negative influence such as deviation from the fundamental value of trading prices. These results suggest the need for examining various factors when considering the impact of information technologies such as the text mining technique on financial markets, and are of great significance from both practical and academic viewpoints.

Keywords: financial markets; asset pricing; information technology; text mining; forecasting accuracy; investment; asset management; asset price fluctuation; agent-based modelling; natural selection; risk; returns; trading prices; agent-based systems; multi-agent systems.

DOI: 10.1504/IJCAT.2010.034525

International Journal of Computer Applications in Technology, 2010 Vol.38 No.4, pp.250 - 258

Published online: 07 Aug 2010 *

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