Research On Information Diffusion Process In Financial Market With Agent-based Modeling

When coming into Web2.0era, not only the daily life of human access to information changed, but also the information diffusion was profoundly been impacted. On one hand, the traditional media channels of information diffusion are replaced by the more open and speedy Internet; Meanwhile, the heterogeneity of the sources of information in the financial markets are more obvious. On the other hand, the freedom of information diffusion channels continuous improved, stepped by new market risks. Compared with previous times, more complex network of information diffusion structure and more freedom of information diffusion environment urgently require people to accurately identify the information diffusion process and its impact on prices, then using these rules to control emerging market risk in practice.In order to more effectively carry out researches, information diffusion is defined as a specific subset of all the information of the stock market. Through empirical analysis and agent-based modeling, the study will research on information diffusion and information networks, and impacts on asset prices.We find that the number of information diffusion and assets in different asset structure significantly affect the volatility of asset prices and daily yield. The number of such information diffusion and the impact of network structure may provide a new way of identification of stock market manipulation information. The number of critical nodes and forwarding of critical nodes in the information diffusion process make significant impact on the fluctuations in asset prices, daily yield a significant impact, and there is a high degree of positive correlation.Meanwhile, also through agent-based modeling the network structure of information diffusion have a major impact on individual wealth. In this paper the statistical information channels of informed traders and information searchers found with the agent the number of connections increases, informed traders and each phase of the average wealth of information searchers showing a different rule. Structure on the transmission of information to consider the wide dissemination of information channels of informed traders is easier to achieve control of the market, connection information, the more searchers, the average wealth of each phase of the greater. For information search is like looking for second-hand information, the information source is more, the smaller the average wealth of each installment.