An agent-based model of intra day financial markets dynamics
Jacopo Staccioli () and
Mauro Napoletano ()
No 2018-34, Documents de Travail de l'OFCE from Observatoire Francais des Conjonctures Economiques (OFCE)
We build an agent based model of a financial market that is able to jointly reproduce many of the stylized facts at different time-scales. These include properties related to returns (leptokurtosis, absence of linear autocorrelation, volatility clustering), trading volumes (volume clustering, correlation betwenn volume and volatility), and timing of trades (number of price changes, autocorrelation of durations between subsequent trades, heavy tails in their distribution, order-side clustering). With respect to previous contributions we introduce a strict event scheduling borrowed from the Euronext exchange, and an endogenous rule for traders participation. We show that such a rule is crucial to match stylized facts.
Keywords: Intra-day financial dynmaics; stylized facts; agent-based artificial stock markets; Market microstructure (search for similar items in EconPapers)
JEL-codes: C63 E12 E22 E32 O4 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp, nep-hme, nep-mac, nep-mst and nep-ore
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Working Paper: Agent- based model of intra-day financial markets dynamics (2018)
Working Paper: An agent-based model of intra-day financial markets dynamics (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:fce:doctra:1834
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