کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
978726 933300 2006 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Modelling financial markets with agents competing on different time scales and with different amount of information
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Modelling financial markets with agents competing on different time scales and with different amount of information
چکیده انگلیسی

We use agent-based models to study the competition among investors who use trading strategies with different amount of information and with different time scales. We find that mixing agents that trade on the same time scale but with different amount of information has a stabilizing impact on the large and extreme fluctuations of the market. Traders with the most information are found to be more likely to arbitrage traders who use less information in the decision making. On the other hand, introducing investors who act on two different time scales has a destabilizing effect on the large and extreme price movements, increasing the volatility of the market. Closeness in time scale used in the decision making is found to facilitate the creation of local trends. The larger the overlap in commonly shared information the more the traders in a mixed system with different time scales are found to profit from the presence of traders acting at another time scale than themselves.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 363, Issue 2, 1 May 2006, Pages 459–468
نویسندگان
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