Investor structure and the price-volume relationship in a continuous double auction market: An agent-based modeling perspective

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• 作者：Wei Zhang^a ; ^b ; Zhengzheng Bi^a ; Dehua Shen^a ; ^c ; ^{dhs@tju.edu.cn}
• 关键词：Investor structure ; Price-volume relationship ; MDH ; SIAH ; Agent-based modeling ; Continuous double auction market
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：1 February 2017
• 年：2017
• 卷：467
• 期：Complete
• 页码：345-355
• 全文大小：1653 K
• 卷排序：467

文摘

An Artificial Continuous Double Auction Market is simulated. The price–volume relationship is investigated with MDH and SIAH. Results are held for SIAH when the number of informed investors is close to the number of uninformed investors. Results are held for MDH when informed investor dominates the market. Investor structure is a key factor in determining the price–volume relationship.