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

DOI10.1155/2017/6831596MaRDI QIDQ1784890zbMATH OpenOpenAlexFDO

Authors Songtao Wu, Chao Wang, Jianmin He

Publication date 27 September 2018

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

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

dynamics of stocksinvestorslimited information capacity

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(2)

• Effects of fundamentals acquisition and strategy switch on stock price dynamics
• Static and dynamic factors in an information-based multi-asset artificial stock market

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