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The role of information in a two-traders market

  • F. Bagarello
  • E. Haven
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    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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    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
    Contact details of provider: Web page: http://arxiv.org/

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    1. 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.
    2. 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.
    3. 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.
    4. Edward W. Piotrowski & Jan Sladkowski, . "Quantum diffusion of prices and profits," Departmental Working Papers 12, University of Bialtystok, Department of Theoretical Physics.
    5. 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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