A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions
Iori, G. (2002). A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions. Journal of Economic Behavior & Organization, 49(2), pp. 269-285. doi: 10.1016/s0167-2681(01)00164-0
Abstract
We propose a model with heterogeneous interacting traders which can explain some of the stylized facts of stock market returns. In the model, synchronization effects, which generate large fluctuations in returns, can arise purely from communication and imitation among traders. The key element in the model is the introduction of a trade friction which, by responding to price movements, creates a feedback mechanism on future trading and generates volatility clustering. The model also reproduces the empirically observed positive cross-correlation between volatility and trading volume.
| Publication Type: | Article |
|---|---|
| Additional Information: | © 2002, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/ |
| Publisher Keywords: | Volatility clustering; Fat tails; Trading volume; Herd behavior. |
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HG Finance |
| Departments: | School of Policy & Global Affairs > Economics |
| SWORD Depositor: |
Available under License : See the attached licence file.
Download (316kB) | Preview
Download (201kB) | Preview
Export
Downloads
Downloads per month over past year
Metadata
MetadataActions (login required)
Admin Login