Fundamentalists clashing over the book: a study of order-driven stock markets
Agent-based models of market dynamics must strike a compromise between the structural assumptions that represent the trading mechanism and the behavioural assumptions that describe the rules by which traders make their decisions. We present a structurally detailed model of an order-driven stock market and show that a minimal set of behavioural assumptions suffices to generate a leptokurtic distribution of short-term log-returns. This result supports the conjecture that the emergence of some statistical properties of financial time series is due to the microstructure of stock markets.
Year of publication: |
2003
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Authors: | Licalzi, Marco ; Pellizzari, Paolo |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 3.2003, 6, p. 470-480
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Publisher: |
Taylor & Francis Journals |
Saved in:
Online Resource
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