Title: The analysis of implicit mechanism of information on liquidity in an artificial stock market

Authors: Lin Zou; Yuanjing Yang; Junjun Zhang

Addresses: Faculty of Business School, Hunan University, Changsha, Hunan 410082, China ' Business School, Hunan University, Changsha, Hunan 410082, China ' Department of Economy and Management, Guangxi Normal University for Nationalities, Chongzuo, Guangxi 532200, China

Abstract: In the stock markets, investors rely significantly on the information to make decisions. To study the effects of information dissemination on stock market liquidity, we build an artificial stock market with a two-layered network. This two-layered network is composed of an interpersonal relationship network and a medium network. In the artificial stock market, we study the path of information affecting the liquidity of stock market through changing information sources and information issuing frequency. The experiment results show that with the lower of information issuing frequency, the difference of holdings decided by information between investors will increase and the change of each investor's holdings in two adjacent periods will increase. The market's liquidity will increase. Furthermore, with the increase of the proportion of information issuing by public media, the difference of holdings decided by information between investors will gradually increase. The market's liquidity will increase.

Keywords: artificial stock markets; market information; market liquidity; small world networks; information sources; information issuing frequency; implicit information; information dissemination; investor holdings.

DOI: 10.1504/IJISTA.2015.074341

International Journal of Intelligent Systems Technologies and Applications, 2015 Vol.14 No.3/4, pp.302 - 329

Received: 11 May 2015
Accepted: 14 Nov 2015
Published online: 22 Jan 2016 *

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