In this paper, an information-based artificial stock market is considered. The market is
populated by heterogeneous agents that are seen as nodes of a sparsely connected graph.
Agents trade a risky asset in exchange for cash. Beside the amount of cash and of asset
owned the the trader, each agent is characterized by a sentiment. Moreover, agents share their
sentiments by means of interactions that are identified by the graph. Interactions are
unidirectional and are supplied with different weights, depending on the class of the source
agent. Agent’s trading decision is based on sentiment and, consequently, the stock price
process depends on the propagation of information among the interacting agents, on budget
constraints, and on market feedbacks. A central market maker (clearing house mechanism)
determines the price process at the intersection of the demand and the supply curves.
Both closed- and open-market conditions are considered. Results point out validity of the
proposed model of information exchange among agents and yield helpful understanding of
the role of information in real markets. Under closed market condition, the interaction among
agents’ sentiments yields a price process that reproduces main stylized facts of real markets,
i.e., fat tails of returns distributions and clustering of volatility. Within open-market
conditions, i.e., with an external cash inflow that results in asset price inflation, also the
unitary root stylised fact is reproduced by the artificial stock market. Finally, the effects of
model parameters on the properties of the artificial stock market are also addressed.
