Stock market information flow: Explanations from market status and information-related behavior
| Autor: | Xiaoxing Liu, Xiaohong Chen, Jingen Lu |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
Statistics and Probability
Information processing Information quality Condensed Matter Physics 01 natural sciences 010305 fluids & plasmas Microeconomics 0103 physical sciences Portfolio Stock market Insider trading Transfer entropy Business 010306 general physics Expected utility hypothesis Stock (geology) |
| Zdroj: | Physica A: Statistical Mechanics and its Applications. 512:837-848 |
| ISSN: | 0378-4371 |
| DOI: | 10.1016/j.physa.2018.08.087 |
| Popis: | Information flow between stocks are universal facts in worldwide stock markets and well documented in numerous studies. To understand the formation of information flow in stock market, we built an order driven artificial stock market where heterogeneous agents construct portfolio by maximizing expected utility and based on information they acquired. Simulations are performed under different market status and information-related trading behaviors of investors with limited information process capacity. Results showed that market noise or information quality alone could not determine the amount of information flow in stock market, that information process capacity and learning behavior of traders play vital intermediate roles. In addition, information flow is stabilized in the presence of a certain proportion of insider trading. |
| Databáze: | OpenAIRE |
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