This paper proposes a novel agent-based model combining private information diffusion to explain time-series momentum and reversal. Private information transmission allows heterogeneous trading strategies coexist in the artificial market. The experiments reproduce momentum in short horizon and reversal in long horizon in the artificial financial market. Moreover, the authors also analyze how the private information contagion affects the momentum. Meanwhile, the authors find the significant price... 

【文章來源】：Journal of Systems Science & Complexity. 2020,33(02)

【文章頁數(shù)】：14 頁

【文章目錄】：
1 Introduction
2 Model
3 Experiments Result and Discussion
    3.1 Experimental Parameters
    3.2 The Stability of the Experiment
    3.3 The Effect of Private Information Contagion on Price and Volume
    3.4 Momentum and Reversal
4 Conclusion



本文編號：2978136