Impact of information cost and switching of trading strategies in an artificial stock market

This paper studies the switching of trading strategies and its effect on the market volatility in a continuous double auction market. We describe the behavior when some uninformed agents, who we call switchers, decide whether or not to pay for information before they trade. By paying for the information they behave as informed traders. First we verify that our model is able to reproduce some of the stylized facts in real financial markets. Next we consider the relationship between switching and the market volatility under different structures of investors. We find that there exists a positive relationship between the market volatility and the percentage of switchers. We therefore conclude that the switchers are a destabilizing factor in the market. However, for a given fixed percentage of switchers, the proportion of switchers that decide to buy information at a given moment of time is negatively related to the current market volatility. In other words, if more agents pay for information to know the fundamental value at some time, the market volatility will be lower. This is because the market price is closer to the fundamental value due to information diffusion between switchers.Comment: 15 pages, 9 figures, Physica A, 201

Bis[3-allyl-1-(4-cyanobenzyl)-2-methylbenzimidazolium] di-μ-bromido-bis[bromidocuprate(I)]

The asymmetric unit of the title compound, (C19H18N3)2[Cu2Br4], contains one cation and one half-anion; there is a centre of symmetry mid-way between the two Cu atoms. In the cation, the nearly planar benzimidazole ring system is oriented at dihedral angles of 75.31 (3) and 21.39 (3)° with respect to the cyano­benzyl and allyl groups, respectively. The dihedral angle between cyano­benzyl and allyl groups is 87.94 (3)°. In the crystal structure, inter­molecular C—H⋯Br hydrogen bonds link the mol­ecules. There is a C—H⋯π contact between the cyano­benzyl ring and the anion; π—π contacts also exist between the benzimidazole ring systems as well as between the anion and the cyano­benzyl ring [centroid–centroid distances = 4.024 (1) and 4.617 (1) Å, respectively]

Quantifying immediate price impact of trades based on the kk-shell decomposition of stock trading networks

Traders in a stock market exchange stock shares and form a stock trading network. Trades at different positions of the stock trading network may contain different information. We construct stock trading networks based on the limit order book data and classify traders into $k$ classes using the $k$-shell decomposition method. We investigate the influences of trading behaviors on the price impact by comparing a closed national market (A-shares) with an international market (B-shares), individuals and institutions, partially filled and filled trades, buyer-initiated and seller-initiated trades, and trades at different positions of a trading network. Institutional traders professionally use some trading strategies to reduce the price impact and individuals at the same positions in the trading network have a higher price impact than institutions. We also find that trades in the core have higher price impacts than those in the peripheral shell.Comment: 6 pages including 3 figures and 1 tabl