Asset price and trade volume relation in artificial market impacted by value investors

K. Tangmongkollert and S. Suwanna

Physica A: Statistical Mechanics and its Applications, 2016, vol. 450, issue C, 126-133

Abstract: The relationship between return and trade volume has been of great interests in a financial market. The appearance of asymmetry in the price–volume relation in the bull and bear market is still unsettled. We present a model of the value investor traders (VIs) in the double auction system, in which agents make trading decision based on the pseudo fundamental price modelled by sawtooth oscillations. We investigate the system by two different time series for the asset fundamental price: one corresponds to the fundamental price in a growing phase; and the other corresponds to that in a declining phase. The simulation results show that the trade volume is proportional to the difference between the market price and the fundamental price, and that there is asymmetry between the buying and selling phases. Furthermore, the selling phase has more significant impact of price on the trade volume than the buying phase.

Keywords: Price–volume relationship; Artificial price; Double auction market (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:450:y:2016:i:c:p:126-133

DOI: 10.1016/j.physa.2015.12.134

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