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The value of information in a multi-agent market model: the luck of the uninformed
journal contribution
posted on 2023-06-08, 18:25 authored by B Tóth, Enrico Scalas, J Huber, M KirchlerWe 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 stock markets, 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.
History
Publication status
- Published
Journal
The European Physical Journal B - Condensed MatterISSN
1434-6028Publisher
Springer VerlagExternal DOI
Issue
1Volume
55Page range
115-120Department affiliated with
- Mathematics Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2014-09-26Usage metrics
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