In financial markets, information constitutes a crucial factor contributing to the evolution of the system, while the presence of heterogeneous investors ensures its flow among financial products. When nonlinear trading strategies prevail, the diffusion mechanism reacts accordingly. Under these conditions, information englobes behavioral traces of traders’ decisions and represents their actions. The resulting effect of information endogenization leads to the revision of traders’ positions and affects connectivity among assets. In an effort to investigate the computational dimensions of this effect, we first simulate multivariate systems including several scenarios of noise terms, and then we apply direct causality tests to analyze the information flow among their variables. Finally, empirical evidence is provided in real financial data.

中文翻译：

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利用信息作为交易特征：基于因果关系的模拟数据和金融数据分析

在金融市场中，信息是促成系统演化的关键因素，而异质投资者的存在则确保了信息在金融产品之间的流动。当非线性交易策略盛行时，扩散机制会相应地做出反应。在这些条件下，信息包含交易者决策的行为痕迹并代表他们的行为。信息内生化的结果导致交易者头寸的修正，影响资产之间的连通性。为了研究这种效应的计算维度，我们首先模拟多变量系统，包括几种噪声项的场景，然后我们应用直接因果关系测试来分析其变量之间的信息流。最后，在真实的财务数据中提供了经验证据。