2007/12/17 by Toth, Bence, Scalas, Enrico
#FOS: Economics and business #FOS: Physical sciences #Physics and Society (physics.soc-ph) #Trading and Market Microstructure (q-fin.TR)
paper · doi:10.48550/arxiv.0712.2687
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.