A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions

Giulia Iori ()

Finance from EconWPA

Abstract: We propose a model with heterogeneous interacting traders which can explain some of the stylized facts of stock market returns. In the model synchronization effects, which generate large fluctuations in returns, can arise either from an aggregate exogenous shock or, even in its absence, purely from communication and imitation among traders. A trade friction is introduced which, by responding to price movements, creates a feedback mechanism on future trading and generates volatility clustering.

Keywords: market microstucture; volatility clustering (search for similar items in EconPapers)
JEL-codes: G D9 C8 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-evo, nep-fin and nep-mic
Date: 1999-05-12
Note: Type of Document - LaTex; prepared on Unix; to print on PostScript; pages: 12 ; figures: included
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Related works:
Working Paper: A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions (2000)
Journal Article: A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions (2002)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:9905005

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