作者:Wang, WT (Wang, Wentao); Zhang, JH (Zhang, Junhuan)[ 1 ] ; Zhao, SM (Zhao, Shangmei); Zhang, YL (Zhang, Yanglin)
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷: 513页: 620-634
DOI: 10.1016/j.physa.2018.09.024
出版年: JAN 1 2019
文献类型:Article
摘要
We simulate the asset pricing in the framework of information networks when the number of agents is constant and tends to infinity. When the number of agents is a constant, we find that a higher risk aversion coefficient, a lower information uncertainty, or a higher standard variance of payoff volatility induces a lower asset price; a higher number of agents induces a higher aggregate demand. When the number of agents tends to infinity, we study and simulate the closed form expressions for asset price with risk aversion coefficient. We find that a higher network connectedness or a lower risk aversion coefficient induces a higher information driven volatility component and a lower Sharpe ratio; a higher network connectedness or a lower risk aversion coefficient induces a higher market efficiency. Liquidity driven volatility component, trading profit, price volatility are non-monotonic functions of network connectedness, or risk aversion coefficient. (C) 2018 Elsevier B.V. All rights reserved.
关键词
作者关键词:Asset pricing; Information networks; Risk aversion; Agent-based simulation
KeyWords Plus:SMALL-WORLD; MARKETS; SYSTEM; AGGREGATION; INVESTMENT; DYNAMICS
通讯作者地址:
Beihang University Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China.
通讯作者地址: Zhang, JH (通讯作者)
