estimation of the group behavior. As traders’ reactions to new information act much like an endogenous shock on return volatility …, however, we cannot easily find an exact solution for the model with social interactions. Thus, simulation-based inference is … scrutiny can be robustly decomposed into news (45–55 %) and social interaction effects (45–55 %). Copyright Springer Science …

-based model that allows reproducing the main stylized facts of financial returns. The model does so by combining fundamental news …