An agent-based model of intra-day financial markets dynamics

Jacopo Staccioli and Mauro Napoletano

LEM Papers Series from Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy

Abstract: We propose a parsimonious agent-based model of a financial market at the intra-day time scale that is able to jointly reproduce many of the empirically validated stylised facts. 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 constributions we introduce a strict event scheduling borrowed from the Euronext exchange, and an endogenous rule for traders' participation. We find that the latter proves crucial for matching our target stylised facts.

Keywords: Intraday financial dynamics; Stylized facts; Agent-based artificial stock markets; Market microstructure; High-Frequency Trading (search for similar items in EconPapers)
Date: 2018-06-01
New Economics Papers: this item is included in nep-cmp, nep-hme and nep-mst
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Related works:
Journal Article: 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 (2021)
Working Paper: An agent-based model of intra day financial markets dynamics (2018)
Working Paper: An agent-based model of intra-day financialmarkets dynamics (2018)
Working Paper: An agent-based model of intra-day financialmarkets dynamics (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:ssa:lemwps:2018/12

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