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The role of information in a two-traders market

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  • F. Bagarello
  • E. Haven
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    Abstract

    In a very simple stock market, made by only two \emph{initially equivalent} traders, we discuss how the information can affect the performance of the traders. More in detail, we first consider how the portfolios of the traders evolve in time when the market is \emph{closed}. After that, we discuss two models in which an interaction with the outer world is allowed. We show that, in this case, the two traders behave differently, depending on \textbf{i)} the amount of information which they receive from outside; and \textbf{ii)}the quality of this information.

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    File URL: http://arxiv.org/pdf/1402.6204
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1402.6204.

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    Date of creation: Feb 2014
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    Handle: RePEc:arx:papers:1402.6204

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    1. Bagarello, F., 2007. "Stock markets and quantum dynamics: A second quantized description," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 386(1), pages 283-302.
    2. Bagarello, F., 2009. "A quantum statistical approach to simplified stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 388(20), pages 4397-4406.
    3. Ataullah, Ali & Davidson, Ian & Tippett, Mark, 2009. "A wave function for stock market returns," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 388(4), pages 455-461.
    4. Piotrowski, Edward W. & SÅ‚adkowski, Jan, 2005. "Quantum diffusion of prices and profits," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 345(1), pages 185-195.
    5. Hawkins, Raymond J. & Aoki, Masanao & Roy Frieden, B., 2010. "Asymmetric information and macroeconomic dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 389(17), pages 3565-3571.
    6. Edward W. Piotrowski & Jan Sladkowski, . "Quantum diffusion of prices and profits," Departmental Working Papers, University of Bialtystok, Department of Theoretical Physics 12, University of Bialtystok, Department of Theoretical Physics.
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