An Agent-Based Approach for Time-Series Momentum and Reversal

被引:0
作者
Zhaoyuan Wang
Shancun Liu
Haijun Yang
Harris Wu
机构
[1] Beihang University,School of Economics and Management
[2] Beihang University,Beijing Advanced Innovation Center for Big Data and Brain Computing
[3] Old Dominion University,College of Business and Public Administration
来源
Journal of Systems Science and Complexity | 2020年 / 33卷
关键词
Agent-based model; excess volatility of volume; price trend; private information contagion; time-series momentum;
D O I
暂无
中图分类号
学科分类号
摘要
This paper proposes a novel agent-based model combining private information diffusion to explain time-series momentum and reversal. Private information transmission allows heterogeneous trading strategies coexist in the artificial market. The experiments reproduce momentum in short horizon and reversal in long horizon in the artificial financial market. Moreover, the authors also analyze how the private information contagion affects the momentum. Meanwhile, the authors find the significant price trend and excess volatility of volume when private information diffuses gradually.
引用
收藏
页码:461 / 474
页数:13
相关论文
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