Skip to main content

The value of information in a multi-agent market model

The luck of the uninformed


We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on the performance of traders, we find a non monotonic relationship of net returns of traders as a function of information levels, both in the experiments and in the simulations. Particularly, averagely informed traders perform worse than the non informed and only traders with high levels of information (insiders) are able to beat the market. The simulations and the experiments reproduce many stylized facts of tick-by-tick stock-exchange data, such as fast decay of autocorrelation of returns, volatility clustering and fat-tailed distribution of returns. These results have an important message for everyday life. They can give a possible explanation why, on average, professional fund managers perform worse than the market index.

This is a preview of subscription content, access via your institution.


  1. A. Cowles, Econometrica 1, 309 (1933)

    Article  Google Scholar 

  2. M. Jensen, Journal of Finance 23, 389 (1968)

    Article  Google Scholar 

  3. B.G. Malkiel, European Financial Management 9, 1 (2003)

    Article  Google Scholar 

  4. B.G. Malkiel, Journal of Economic Perspectives 17, 59 (2003)

    Article  Google Scholar 

  5. S.J. Grossman, J.E. Stiglitz, Ame. Econ. Rev. 70, 393 (1980)

    Google Scholar 

  6. M. Hellwig, Journal of Economic Theory 26, 279 (1982)

    MATH  Article  MathSciNet  Google Scholar 

  7. S. Figlewski, Journal of Finance 37, 87 (1982)

    Article  Google Scholar 

  8. S. Sunder, Econometrica 60, 667 (1992)

    MATH  Article  Google Scholar 

  9. E. Scalas, S. Cincotti, C. Dose, M. Raberto, Fraudulent Agents in an Artificial Financial Market, in Nonlinear Dynamics and Heterogeneous Interacting Agents, edited by T. Lux, S. Reitz, E. Samanidou, Lecture Notes in Economics and Mathematical Systems, 550, 317 (Springer, Berlin, 2005)

  10. M. Kirchler, J. Huber, Journal of Economic Dynamics and Control, forthcoming

  11. J. Huber, Journal of Economic Dynamics and Control, forthcoming

  12. J. Huber, M. Kirchler, M. Sutter, Journal of Economic Behavior and Organization, forthcoming

  13. J.D. Gibbons, Nonparametric Statistical Inference, 2nd edn. (M. Dekker, 1985)

  14. M. Hollander, D.A. Wolfe, Nonpapametric Statistical Methods (Wiley, 1973)

  15. R. Cont, Quantitative Finance 1, 223 (2001)

    Article  Google Scholar 

  16. G.G. Judge, R.C. Hill, W.E. Griffiths, H. Lutkepohl, T.-C. Lee, Introduction to the Theory and Practice of Econometrics (New York, Wiley, 1988)

  17. M. LiCalzi, P. Pellizzari, Quantitative Finance 3, 1 (2003)

    Article  MathSciNet  Google Scholar 

Download references

Author information



Corresponding author

Correspondence to B. Tóth.

Rights and permissions

Reprints and Permissions

About this article

Cite this article

Tóth, B., Scalas, E., Huber, J. et al. The value of information in a multi-agent market model. Eur. Phys. J. B 55, 115–120 (2007).

Download citation


  • 89.65.Gh Economics; econophysics, financial markets, business and management
  • 89.65.-s Social and economic systems
  • 89.70.+c Information theory and communication theory
  • 89.75.-k Complex systems