Article ID Journal Published Year Pages File Type
974404 Physica A: Statistical Mechanics and its Applications 2015 8 Pages PDF
Abstract

•Data from real stock market is incomplete.•Tests found that informed agents can produce price–volume relationship.•The trade style of aggressiveness impacts price–volume relationship.•The trade style of trading more at one transaction impacts price–volume relationship.

The positive relation between stock price changes and trading volume (price–volume relationship) as a stylized fact has attracted significant interest among finance researchers and investment practitioners. However, until now, consensus has not been reached regarding the causes of the relationship based on real market data because extracting valuable variables (such as information-driven trade volume) from real data is difficult. This lack of general consensus motivates us to develop a simple agent-based computational artificial stock market where extracting the necessary variables is easy. Based on this model and its artificial data, our tests have found that the aggressive trading style of informed agents can produce a price–volume relationship. Therefore, the information spreading process is not a necessary condition for producing price–volume relationship.

Related Topics
Physical Sciences and Engineering Mathematics Mathematical Physics
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