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The role of information in a two-traders market

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  • F. Bagarello
  • E. Haven

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.

Suggested Citation

  • F. Bagarello & E. Haven, 2014. "The role of information in a two-traders market," Papers 1402.6204, arXiv.org.
  • Handle: RePEc:arx:papers:1402.6204
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    References listed on IDEAS

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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, vol. 386(1), pages 283-302.
    2. Piotrowski, Edward W. & SÅ‚adkowski, Jan, 2005. "Quantum diffusion of prices and profits," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 345(1), pages 185-195.
    3. Hawkins, Raymond J. & Aoki, Masanao & Roy Frieden, B., 2010. "Asymmetric information and macroeconomic dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(17), pages 3565-3571.
    4. Fabio Bagarello, 2009. "A quantum statistical approach to simplified stock markets," Papers 0907.2531, arXiv.org.
    5. Ataullah, Ali & Davidson, Ian & Tippett, Mark, 2009. "A wave function for stock market returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(4), pages 455-461.
    6. Bagarello, F., 2009. "A quantum statistical approach to simplified stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(20), pages 4397-4406.
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    Cited by:

    1. F. Bagarello & E. Haven, 2014. "Towards a formalization of a two traders market with information exchange," Papers 1412.8725, arXiv.org.
    2. Bagarello, F. & Haven, E., 2016. "First results on applying a non-linear effect formalism to alliances between political parties and buy and sell dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 403-414.

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