Effects of common factors on dynamics of stocks traded by investors with limited information capacity

DOI10.1155/2017/6831596zbMath1412.91224OpenAlexW2756569610MaRDI QIDQ1784890

Songtao Wu, Chao Wang, Jian-min He

Publication date: 27 September 2018

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2017/6831596

zbMATH Keywords

investorsdynamics of stockslimited information capacity

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

• Institutional architectures and behavioral ecologies in the dynamics of financial markets
• Forecasting multivariate realized stock market volatility
• Limited information capacity as a source of inertia
• Evolving traders and the business school with genetic programming: A new architecture of the agent-based artificial stock market
• Investor structure and the price-volume relationship in a continuous double auction market: an agent-based modeling perspective
• Time series properties of an artificial stock market
• Strategy switching in the Japanese stock market
• The impact of heterogeneous trading rules on the limit order book and order flows
• Information Acquisition and Under-Diversification
• A simulation analysis of the microstructure of double auction markets*
• Common risk factors in the returns on stocks and bonds

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