The value of information in a multi-agent market model: tthe luck of the uninformed

B. Tóth, E. Scalas, J. Huber, M. Kirchler

Risultato della ricerca: Contributo su rivistaArticolo in rivistapeer review

Abstract

We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on the performance of traders, we find a non monotonic relationship of net returns of traders as a function of information levels, both in the experiments and in the simulations. Particularly, averagely informed traders perform worse than the non informed and only traders with high levels of information (insiders) are able to beat the market. The simulations and the experiments reproduce many stylized facts of tick-by-tick stock-exchange data, such as fast decay of autocorrelation of returns, volatility clustering and fat-tailed distribution of returns. These results have an important message for everyday life. They can give a possible explanation why, on average, professional fund managers perform worse than the market index.

Lingua originaleInglese
pagine (da-a)115-120
Numero di pagine6
RivistaEuropean Physical Journal B
Volume55
Numero di pubblicazione1
DOI
Stato di pubblicazionePubblicato - gen 2007
Pubblicato esternamente

Fingerprint

Entra nei temi di ricerca di 'The value of information in a multi-agent market model: tthe luck of the uninformed'. Insieme formano una fingerprint unica.

Cita questo