(Mis)information diffusion and the financial market

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Behavior & Organization Pub Date : 2025-08-27 DOI:10.1016/j.jebo.2025.107211

Tommaso Di Francesco , Daniel Torren-Peraire

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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.

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（二）信息扩散与金融市场

本文运用基于主体的模型（ABM）研究了社会网络中信息扩散及其对金融市场的影响。代理人接收和交换关于风险资产红利过程中可观察到的随机成分的信息（格罗斯曼和斯蒂格利茨，1980）。一小部分网络可以访问有关组件的私有信号，这些信号可以是干净的（信息）或扭曲的（错误信息）。其他代理是不知情的，只能从它们的同伴那里接收信息。所有的代理都是贝叶斯的，根据他们对信息来源的信心来调整他们的信念。通过模拟，我们研究了信息是如何在网络中扩散的，并提供了一个框架来解释冲击的延迟吸收，这些冲击不能像经典金融模型预测的那样立即定价。我们研究了网络拓扑对最终资产价格的影响，并评估了在哪种情况下错误信息的扩散会使市场更低效。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Economic Behavior & Organization ECONOMICS-

CiteScore

3.80

自引率

9.10%

发文量

392

期刊介绍： The Journal of Economic Behavior and Organization is devoted to theoretical and empirical research concerning economic decision, organization and behavior and to economic change in all its aspects. Its specific purposes are to foster an improved understanding of how human cognitive, computational and informational characteristics influence the working of economic organizations and market economies and how an economy structural features lead to various types of micro and macro behavior, to changing patterns of development and to institutional evolution. Research with these purposes that explore the interrelations of economics with other disciplines such as biology, psychology, law, anthropology, sociology and mathematics is particularly welcome.