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

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 rever...

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Bibliographic Details
Published in:Journal of systems science and complexity 2020-04, Vol.33 (2), p.461-474
Main Authors: Wang, Zhaoyuan, Liu, Shancun, Yang, Haijun, Wu, Harris
Format: Article
Language:English
Subjects:
Complex Systems
Control
Horizon
Information dissemination
Mathematics
Mathematics and Statistics
Mathematics of Computing
Momentum
Operations Research/Decision Theory
Statistics
Systems Theory
Volatility
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Summary: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 trend and excess volatility of volume when private information diffuses gradually.
ISSN:1009-6124
1559-7067
DOI:10.1007/s11424-020-8042-2