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An agent-based model of intra-day financialmarkets dynamics

Jacopo Staccioli and Mauro Napoletano

No 34, Sciences Po publications from Sciences Po

Abstract: 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 between volume and volatility), and timing of trades (number of price changes, autocorrelation of durations between subsequent trades, heavy tail 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 dynamics; Stylized facts; Agent-based artificial stock markets; Market microstructure; High frequency trading (search for similar items in EconPapers)
JEL-codes: C63 E12 E22 E32 O4 (search for similar items in EconPapers)
Date: 2018-10
New Economics Papers: this item is included in nep-cmp, nep-hme, nep-mac and nep-mst
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Related works:
Journal Article: An agent-based model of intra-day financial markets dynamics (2021) Downloads
Working Paper: An agent-based model of intra-day financial markets dynamics (2021)
Working Paper: An agent-based model of intra-day financial markets dynamics (2021)
Working Paper: An agent-based model of intra day financial markets dynamics (2018) Downloads
Working Paper: An agent-based model of intra-day financialmarkets dynamics (2018) Downloads
Working Paper: An agent-based model of intra-day financialmarkets dynamics (2018) Downloads
Working Paper: An agent-based model of intra-day financial markets dynamics (2018) Downloads
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