(Mis)information diffusion and the financial market
Di Francesco, Tommaso (Universiteit van Amsterdam)
Torren Peraire, Daniel (Universitat Autònoma de Barcelona. Institut de Ciència i Tecnologia Ambientals)

Date:	2025
Abstract:	This paper investigates the interplay between information diffusion in social networks and its impact on financial markets with an Agent-Based Model (ABM). Agents receive and exchange information about an observable stochastic component of the dividend process of a risky asset à la Grossman and Stiglitz (1980). A small proportion of the network has access to a private signal about the component, which can be clean (information) or distorted (misinformation). Other agents are uninformed and can receive information only from their peers. All agents are Bayesian, adjusting their beliefs according to the confidence they have in the source of information. We examine, by means of simulations, how information diffuses in the network and provide a framework to account for delayed absorption of shocks, that are not immediately priced as predicted by classical financial models. We investigate the effect of the network topology on the resulting asset price and evaluate under which condition misinformation diffusion can make the market more inefficient.
Grants:	European Commission 956107
Note:	Unidad de excelencia María de Maeztu CEX2019-000940-M
Rights:	Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial, la distribució, la comunicació pública de l'obra i la creació d'obres derivades, fins i tot amb finalitats comercials, sempre i quan es reconegui l'autoria de l'obra original.
Language:	Anglès
Document:	Article ; recerca ; Versió publicada
Subject:	Agent-based-model ; Asset-pricing ; Behavioral economics ; Information diffusion
Published in:	Journal of economic behavior & organization, Vol. 238 (October 2025) , art. 107211, ISSN 0167-2681

DOI: 10.1016/j.jebo.2025.107211

21 p, 2.6 MB

The record appears in these collections:
Research literature > UAB research groups literature > Research Centres and Groups (research output) > Experimental sciences > Institut de Ciència i Tecnologia Ambientals (ICTA)
Articles > Research articles
Articles > Published articles