Stability of Financial Market Driven by Information Delay and Liquidity in Delay Agent-Based Model

In order to explore the impact of information delay and liquidity on the financial market, we propose a delay agent-based model from the perspective of micro evolution in financial market based on the methods of agent-based model and econophysics. Mean escape time and escape rate in econophysics is used to measure stock price stability, and the empirical comparison with benchmark VaR and CVaR is carried out. Combined with the real data of China's stock market, the results of theoretical stochastic simulation and empirical analysis indicate that (1) An optimal information delay is associated with the strongest stability of financial market; (2) The increase of liquidity will weaken the stability of the financial market; (3) Both information delay and liquidity can induce the nonmonotonic behavior in mean escape time versus the intensity of the quantifies market noise and mean escape rate versus delay time. In other words, we can observe that information delay enhances system stability. In addition, the existence of the worst market noise greatly weakens the stability of the market system