Trading, Profits, and Volatility in a Dynamic Information Network Model

• 成果类型: Article
• 署名作者: Walden, Johan
• 署名单位: University of California System; University of California Berkeley
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdy058
• 发表日期: 2019
• 页码: 2248-2283
• 关键词: stock markets; price changes; volume; INVESTMENT; portfolio; diffusion; equilibrium; percolation; EFFICIENCY; BEHAVIOR

摘要

We introduce a dynamic noisy rational expectations model in which information diffuses through a general network of agents. In equilibrium, agents who are more closely connected have more similar period-by-period trades, and an agent's profitability is determined by a centrality measure that is related to Katz centrality. Volatility after an information shock is more persistent in less central networks, and volatility and trading volume are also influenced by the network's asymmetry and irregularity. Using account-level data of all portfolio holdings and trades on the Helsinki Stock Exchange between 1997 and 2003, we find support for the aggregate predictions, altogether suggesting that the market's network structure is important for these dynamics.