英文标题：
《Impact of information cost and switching of trading strategies in an
artificial stock market》
---
作者：
Yi-Fang Liu, Wei Zhang, Chao Xu, J{\\o}rgen Vitting Andersen, Hai-Chuan
Xu
---
最新提交年份：
2014
---
英文摘要：
This paper studies the switching of trading strategies and its effect on the market volatility in a continuous double auction market. We describe the behavior when some uninformed agents, who we call switchers, decide whether or not to pay for information before they trade. By paying for the information they behave as informed traders. First we verify that our model is able to reproduce some of the stylized facts in real financial markets. Next we consider the relationship between switching and the market volatility under different structures of investors. We find that there exists a positive relationship between the market volatility and the percentage of switchers. We therefore conclude that the switchers are a destabilizing factor in the market. However, for a given fixed percentage of switchers, the proportion of switchers that decide to buy information at a given moment of time is negatively related to the current market volatility. In other words, if more agents pay for information to know the fundamental value at some time, the market volatility will be lower. This is because the market price is closer to the fundamental value due to information diffusion between switchers.
---
中文摘要：
本文研究了连续双拍卖市场中交易策略的转换及其对市场波动性的影响。我们描述了一些不知情的代理（我们称之为切换者）在交易前决定是否为信息付费的行为。通过为信息付费，他们表现得像知情的交易者。首先，我们验证了我们的模型能够重现真实金融市场中的一些程式化事实。接下来，我们考虑在不同的投资者结构下，转换与市场波动之间的关系。我们发现，市场波动性与转换者的比例之间存在正相关关系。因此，我们得出结论，交换机是市场中的一个不稳定因素。然而，对于给定的固定百分比的切换者，在给定时刻决定购买信息的切换者的比例与当前的市场波动率呈负相关。换言之，如果更多的代理人在某个时候为了解基本价值而支付信息费用，那么市场的波动性就会更低。这是因为，由于交换机之间的信息扩散，市场价格更接近基本价值。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
--

---
PDF下载：
-->