{"title":"Information Heterogeneity: Implications for Liquidity and Price Efficiency","authors":"Zhi-hua Li, Hong Liu, Qing-shan Yang","doi":"10.1007/s10255-024-1092-9","DOIUrl":null,"url":null,"abstract":"<p>This paper discusses a model about information heterogeneity. The market size, information attention and information asymmetry affect market liquidity and price information. Larger market size can lead to an increase in market liquidity and the release of price information; however, traders who possess higher information attention can quickly affect price efficiency through their trading, leading to increased price fluctuations. In addition, the increase in asymmetry scale will lead to a decrease in liquidity and a reduction in the release of price information. Under information asymmetry, large trading groups attract followers, thereby increasing market liquidity and trading intensity.</p>","PeriodicalId":6951,"journal":{"name":"Acta Mathematicae Applicatae Sinica, English Series","volume":"29 1","pages":""},"PeriodicalIF":0.9000,"publicationDate":"2024-05-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Acta Mathematicae Applicatae Sinica, English Series","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1007/s10255-024-1092-9","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"MATHEMATICS, APPLIED","Score":null,"Total":0}
引用次数: 0
Abstract
This paper discusses a model about information heterogeneity. The market size, information attention and information asymmetry affect market liquidity and price information. Larger market size can lead to an increase in market liquidity and the release of price information; however, traders who possess higher information attention can quickly affect price efficiency through their trading, leading to increased price fluctuations. In addition, the increase in asymmetry scale will lead to a decrease in liquidity and a reduction in the release of price information. Under information asymmetry, large trading groups attract followers, thereby increasing market liquidity and trading intensity.
期刊介绍：
Acta Mathematicae Applicatae Sinica (English Series) is a quarterly journal established by the Chinese Mathematical Society. The journal publishes high quality research papers from all branches of applied mathematics, and particularly welcomes those from partial differential equations, computational mathematics, applied probability, mathematical finance, statistics, dynamical systems, optimization and management science.
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