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- W4280570623 abstract "In order to explore the impact of information delay and liquidity on the financial market, we propose a delay agent-based model from the perspective of micro evolution in financial market based on the methods of agent-based model and econophysics. Mean escape time and escape rate in econophysics is used to measure stock price stability. The empirical comparison with benchmark VaR and CVaR is carried out, and the results of stochastic simulation are in good agreement with those of empirical analysis. Combined with the real data of China’s stock market, the results of theoretical stochastic simulation and empirical analysis indicate that (1) An optimal information delay is associated with the strongest stability of financial market; (2) The increase of liquidity will weaken the stability of the financial market; (3) Both information delay and liquidity can induce the nonmonotonic behavior in mean escape time versus the intensity of the quantifies market noise and mean escape rate versus delay time. In other words, we can observe that information delay enhances system stability. In addition, the existence of the worst market noise greatly weakens the stability of the market itself." @default.
- W4280570623 created "2022-05-22" @default.
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- W4280570623 date "2022-08-01" @default.
- W4280570623 modified "2023-10-02" @default.
- W4280570623 title "Stability of financial market driven by information delay and liquidity in delay agent-based model" @default.
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- W4280570623 doi "https://doi.org/10.1016/j.physa.2022.127526" @default.
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