A detailed heterogeneous agent model for a single asset financial market with trading via an order book

Roberto Mota Navarro and Hernán Larralde

PLOS ONE, 2017, vol. 12, issue 2, 1-27

Abstract: We present an agent based model of a single asset financial market that is capable of replicating most of the non-trivial statistical properties observed in real financial markets, generically referred to as stylized facts. In our model agents employ strategies inspired on those used in real markets, and a realistic trade mechanism based on a double auction order book. We study the role of the distinct types of trader on the return statistics: specifically, correlation properties (or lack thereof), volatility clustering, heavy tails, and the degree to which the distribution can be described by a log-normal. Further, by introducing the practice of “profit taking”, our model is also capable of replicating the stylized fact related to an asymmetry in the distribution of losses and gains.

Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
https://journals.plos.org/plosone/article?id=10.1371/journal.pone.0170766 (text/html)
https://journals.plos.org/plosone/article/file?id= ... 70766&type=printable (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:plo:pone00:0170766

DOI: 10.1371/journal.pone.0170766

Access Statistics for this article

More articles in PLOS ONE from Public Library of Science
Bibliographic data for series maintained by plosone ().