The value of information in financial markets: An agent-based simulation
| dc.creator | Toth, Bence | |
| dc.creator | Scalas, Enrico | |
| dc.date | 2007-12-17 | |
| dc.date.accessioned | 2026-07-07T12:05:35Z | |
| dc.date.available | 2026-07-07T12:05:35Z | |
| dc.description | We present results on simulations of a stock market with heterogeneous, cumulative information setup. We find a non-monotonic behaviour of traders' returns as a function of their information level. Particularly, the average informed agents underperform random traders; only the most informed agents are able to beat the market. We also study the effect of a strategy updating mechanism, when traders have the possibility of using other pieces of information than the fundamental value. These results corroborate the latter ones: it is only for the most informed player that it is rewarding to stay fundamentalist. The simulations reproduce some stylized facts of tick-by-tick stock-exchange data and globally show informational efficiency. | |
| dc.description | 25 pages, 7 figures invited paper to "Information, Interaction, and (In)Efficiency in Financial Markets" edited by Juergen Huber and Michael Hanke | |
| dc.identifier | https://arxiv.org/abs/0712.2687 | |
| dc.identifier | http://arxiv.org/abs/0712.2687 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/208415 | |
| dc.subject | Trading and Market Microstructure | |
| dc.subject | Physics and Society | |
| dc.title | The value of information in financial markets: An agent-based simulation | |
| dc.type | text |