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Discrete Dynamics in Nature and Society
Volume 2017, Article ID 6831596, 15 pages
Research Article

Effects of Common Factors on Dynamics of Stocks Traded by Investors with Limited Information Capacity

School of Economics and Management, Southeast University, Nanjing 211189, China

Correspondence should be addressed to Jianmin He; moc.621@831uesnimnaijeh

Received 4 June 2017; Revised 25 July 2017; Accepted 7 August 2017; Published 28 September 2017

Academic Editor: Ricardo López-Ruiz

Copyright © 2017 Songtao Wu et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


An artificial stock market with agent-based model is built to investigate effects of different information characteristics of common factors on the dynamics stock returns. Investors with limited information capacity update their beliefs based on the information they have obtained and processed and optimize portfolios based on beliefs. We find that with changing of concerned information characteristics the uncertainty of stock price returns rises and is higher than the uncertainty of intrinsic value returns. However, this increase is constrained by the limited information capacity of investors. At the same time, we also find that dependence between returns of stock prices also increased with the changing information environment. The uncertainty and dependency pertaining to prices show a positive relationship. However, the positive relationship is weakened when taking into account the features of intrinsic values, based on which prices are generated.