Impact of information cost and switching of trading strategies in an artificial stock market

被引：6

作者：

Liu, Yi-Fang ^{[1
,2
,3
]}

Zhang, Wei ^{[1
,2
]}

Xu, Chao ^{[1
,2
]}

Andersen, Jorgen Vitting ^{[3
]}

Xu, Hai-Chuan ^{[1
,2
]}

机构：

[1] Tianjin Univ, Coll Management & Econ, Rm 713 Beiyang Sci Bldg, Tianjin 300072, Peoples R China

[2] Tianjin Univ, China Ctr Social Comp & Analyt, Tianjin 300072, Peoples R China

[3] Univ Paris 01, CNRS, Ctr Econ Sorbonne, F-75647 Paris 13, France

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2014年 / 407卷

基金：

中国国家自然科学基金;

关键词：

Agent-based model; Heterogeneity; Switching behavior; Market volatility; EXCESS VOLATILITY; EXPLANATION; PRICES;

D O I：

10.1016/j.physa.2014.04.004

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

This paper studies the switching of trading strategies and its effect on the market volatility in a continuous double auction market. We describe the behavior when some uninformed agents, who we call switchers, decide whether or not to pay for information before they trade. By paying for the information they behave as informed traders. First we verify that our model is able to reproduce some of the stylized facts in real financial markets. Next we consider the relationship between switching and the market volatility under different structures of investors. We find that there exists a positive relationship between the market volatility and the percentage of switchers. We therefore conclude that the switchers are a destabilizing factor in the market. However, for a given fixed percentage of switchers, the proportion of switchers that decide to buy information at a given moment of time is negatively related to the current market volatility. In other words, if more agents pay for information to know the fundamental value at some time, the market volatility will be lower. This is because the market price is closer to the fundamental value due to information diffusion between switchers. (c) 2014 Elsevier B.V. All rights reserved.

引用

页码：204 / 215

页数：12

共 27 条

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