This paper presents a heterogeneous agent model of a sequential monetary production economy. A deterministic dynamic flow model is employed. The model is characterized by three classes of agents: a single homogeneous representative consumer, heterogeneous firms and a banking sector. There are...

We complement the theory of tick-by-tick dynamics of financial markets based on a continuous-time random walk (CTRW) model recently proposed by Scalas et al [4], and we point out its consistency with the behaviour observed in the waiting-time distribution for BUND future prices traded at LIFFE,...

We study the volatility of the MIB30–stock–index high–frequency data from November 28, 1994 through September 15, 1995. Our aim is to empirically characterize the volatility random walk in the framework of continuous–time finance. To this end, we compute the index volatility by means of...

We analyze the time series of overnight returns for the bund and btp futures exchanged at liffe (London). The overnight returns of both assets are mapped onto a one–dimensional symbolic–dynamics random walk: The “bond walk”. During the considered period (October 1991—January 1994) the...

In financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we analyse the statistical properties of General Electric stock prices, traded at NYSE, in October 1999. These properties...