Abstract
We propose a new heterogenous agent model with dynamic continuous double auction stock market and agent social network. Analysing the experimental results, we deem that the scale of agent social networks has a significant impact on price discovery and liquidity in the stock market. In the small-scale market, price discovery is slow, liquidity is poor, and market efficiency is low. In the large-scale market, price discovery is fast, liquidity is strong, and market efficiency is strong.
| Original language | English |
|---|---|
| Journal | Proceedings of International Conference on Computers and Industrial Engineering, CIE |
| Volume | 2019-October |
| State | Published - 2019 |
| Event | 49th International Conference on Computers and Industrial Engineering, CIE 2019 - Beijing, China Duration: 18 Oct 2019 → 21 Oct 2019 |
Keywords
- Information diffusion
- Liquidity
- Price discovery
- Social network scale
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