 Dynamics of momentum in financial markets based on the information diffusion in complex social networksXing Cai, Wei Xia, Weihua Huang and Haijun Yang Journal of Behavioral and Experimental Finance, 2024, vol. 41, issue C Abstract: This paper focuses on why momentum expresses different dynamics based on complex social networks. We construct an epidemiological information transmission model under the assumption of complex investor networks. We consider two kinds of networks with different degree distributions: uniform distribution and power-law distribution, and then we discuss the scenarios when the networks are assortative or disassortative. We find that the degree distribution and the degree correlation affect the momentum dynamics. In power-law networks, the assortative network exhibits a lower information diffusion rate in the short term but higher in the long term compared to the disassortative network. In contrast, the disassortative network has a higher information diffusion rate than the assortative network in uniform networks. In power-law networks, network assortativity exerts a significant influence on profit, whereas, in uniform networks, it has minimal impact on profit. Keywords: Complex social networks; Information transmission; Momentum dynamics (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000121 DOI: 10.1016/j.jbef.2024.100897 Access Statistics for this article Journal of Behavioral and Experimental Finance is currently edited by Michael Dowling and Jürgen Huber More articles in Journal of Behavioral and Experimental Finance from Elsevier |
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