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Exploitation of Information as a Trading Characteristic: A Causality-Based Analysis of Simulated and Financial Data
In financial markets, information constitutes a crucial factor contributing to the evolution of the system, while the presence of heterogeneous investors ensures its flow among financial products. When nonlinear trading strategies prevail, the diffusion mechanism reacts accordingly. Under these cond...
Autores principales: | , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
MDPI
2020
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7597289/ https://www.ncbi.nlm.nih.gov/pubmed/33286908 http://dx.doi.org/10.3390/e22101139 |
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author | Kyrtsou, Catherine Mikropoulou, Christina Papana, Angeliki |
author_facet | Kyrtsou, Catherine Mikropoulou, Christina Papana, Angeliki |
author_sort | Kyrtsou, Catherine |
collection | PubMed |
description | In financial markets, information constitutes a crucial factor contributing to the evolution of the system, while the presence of heterogeneous investors ensures its flow among financial products. When nonlinear trading strategies prevail, the diffusion mechanism reacts accordingly. Under these conditions, information englobes behavioral traces of traders’ decisions and represents their actions. The resulting effect of information endogenization leads to the revision of traders’ positions and affects connectivity among assets. In an effort to investigate the computational dimensions of this effect, we first simulate multivariate systems including several scenarios of noise terms, and then we apply direct causality tests to analyze the information flow among their variables. Finally, empirical evidence is provided in real financial data. |
format | Online Article Text |
id | pubmed-7597289 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2020 |
publisher | MDPI |
record_format | MEDLINE/PubMed |
spelling | pubmed-75972892020-11-09 Exploitation of Information as a Trading Characteristic: A Causality-Based Analysis of Simulated and Financial Data Kyrtsou, Catherine Mikropoulou, Christina Papana, Angeliki Entropy (Basel) Article In financial markets, information constitutes a crucial factor contributing to the evolution of the system, while the presence of heterogeneous investors ensures its flow among financial products. When nonlinear trading strategies prevail, the diffusion mechanism reacts accordingly. Under these conditions, information englobes behavioral traces of traders’ decisions and represents their actions. The resulting effect of information endogenization leads to the revision of traders’ positions and affects connectivity among assets. In an effort to investigate the computational dimensions of this effect, we first simulate multivariate systems including several scenarios of noise terms, and then we apply direct causality tests to analyze the information flow among their variables. Finally, empirical evidence is provided in real financial data. MDPI 2020-10-08 /pmc/articles/PMC7597289/ /pubmed/33286908 http://dx.doi.org/10.3390/e22101139 Text en © 2020 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/). |
spellingShingle | Article Kyrtsou, Catherine Mikropoulou, Christina Papana, Angeliki Exploitation of Information as a Trading Characteristic: A Causality-Based Analysis of Simulated and Financial Data |
title | Exploitation of Information as a Trading Characteristic: A Causality-Based Analysis of Simulated and Financial Data |
title_full | Exploitation of Information as a Trading Characteristic: A Causality-Based Analysis of Simulated and Financial Data |
title_fullStr | Exploitation of Information as a Trading Characteristic: A Causality-Based Analysis of Simulated and Financial Data |
title_full_unstemmed | Exploitation of Information as a Trading Characteristic: A Causality-Based Analysis of Simulated and Financial Data |
title_short | Exploitation of Information as a Trading Characteristic: A Causality-Based Analysis of Simulated and Financial Data |
title_sort | exploitation of information as a trading characteristic: a causality-based analysis of simulated and financial data |
topic | Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7597289/ https://www.ncbi.nlm.nih.gov/pubmed/33286908 http://dx.doi.org/10.3390/e22101139 |
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