Recent literature has developed the conjecture that important statistical features of stock price series, such as the fat tails phenomenon, may depend mainly on the market microstructure. This conjecture motivated us to investigate the roles of both the market microstructure and agent behavior...

The positive relation between stock price changes and trading volume (price–volume relationship) as a stylized fact has attracted significant interest among finance researchers and investment practitioners. However, until now, consensus has not been reached regarding the causes of the...

In recent years, studying stock markets using multi-agent based models has grow into an important research area due to the fact that this line of attack replicates the nature of the financial market where varied traders with a mixture of expectations and diverse points of rationality network...

The issue regarding the influence of intelligence on market efficiency has been discussed for a long time. Gode and Sunder (1993) mentioned that the aggregate behavior of zero-intelligence traders is able to generate an efficient market. They introduced two types of markets composed of...

Empirical evidence on the distributional characteristics of common stock returns indicates: (1) A power-law tail index close to three describes the behavior of the positive tail of the survivor function of returns (pr(r x) ~ x^-\alpha), a reflection of fat tails; (2) general linear and...

This paper describes work undertaken converting the Artificial Stock Market (LeBaron et al., 1999; Johnson, 2002) to using interval arithmetic instead of floating point arithmetic, the latter having been shown in an earlier article to be the cause of changed behaviour in the ASM (Polhill et al., in...

Since the end of the 1960s, price limits has been employed by many futures markets and stock markets around the world. In the literature, the effectiveness of price limits is still under debate. The main purpose of price limit is to reduce price volatility. The rationale for supporting price...

In this paper we provide a brief introduction to the literature on agent-based financial modelling and, more specifically, artificial stock market modelling. In the selective literature review two broad categories of artificial stock market models are discussed: models based on hard-wired rules...