Abstract
This paper proposes a novel agent-based model combining private information diffusion to explain time-series momentum and reversal. Private information transmission allows heterogeneous trading strategies coexist in the artificial market. The experiments reproduce momentum in short horizon and reversal in long horizon in the artificial financial market. Moreover, the authors also analyze how the private information contagion affects the momentum. Meanwhile, the authors find the significant price trend and excess volatility of volume when private information diffuses gradually.
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