Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/203065
Authors: 
Staccioli, Jacopo
Napoletano, Mauro
Year of Publication: 
2018
Series/Report no.: 
LEM Working Paper Series 2018/12
Abstract: 
We propose a parsimonious agent-based model of a financial market at the intra-day time scale that is able to jointly reproduce many of the empirically validated stylised facts. These include properties related to returns (leptokurtosis, absence of linear autocorrelation, volatility clustering), trading volumes (volume clustering, correlation between volume and volatility), and timing of trades (number of price changes, autocorrelation of durations between subsequent trades, heavy tail in their distribution, order-side clustering). With respect to previous constributions we introduce a strict event scheduling borrowed from the Euronext exchange, and an endogenous rule for traders' participation. We find that the latter proves crucial for matching our target stylised facts.
Subjects: 
Intraday financial dynamics
Stylized facts
Agent-based artificial stock markets
Market microstructure
High-Frequency Trading
JEL: 
C63
D84
G12
Document Type: 
Working Paper

Files in This Item:
File
Size
523.63 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.