Fundamentalists Clashing over the Book: A Study of Order-Driven Stock Markets

Marco LiCalzi and Paolo Pellizzari

Computational Economics from University Library of Munich, Germany

Abstract: Agent-based models of market dynamics must strike a compromise between the structural assumptions that represent the trading mechanism and the behavioral assumptions that describe the rules by which traders take their decisions. We present a structurally detailed model of an order- driven stock market and show that a minimal set of behavioral assumptions suffices to generate a leptokurtic distribution of short- term log-returns. This result backs up the conjecture that the emergence of some statistical properties of financial time series is due to the microstructure of stock markets.

Keywords: price dynamics; statistical properties of returns; behavioral and structural assumptions; agent-based simulations (search for similar items in EconPapers)
JEL-codes: C63 D84 G19 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2002-07-12, Revised 2003-03-04
New Economics Papers: this item is included in nep-fin and nep-fmk
Note: Type of Document - pdf; prepared on Macintosh; to print on Postcript; pages: 19; figures: included
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (34)

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Journal Article: Fundamentalists clashing over the book: a study of order-driven stock markets (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpco:0207001

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