An Agent-Based Approach for Time-Series Momentum and Reversa

发布时间：2021-01-15 03:29

　　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... 

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

【文章页数】：14 页

【文章目录】：
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



本文编号：2978136