On financial markets trading
AbstractStarting from the observation of the real trading activity, we propose a model of a stockmarket simulating all the typical phases taking place in a stock exchange. We show that there is no need of several classes of agents once one has introduced realistic constraints in order to confine money, time, gain and loss within an appropriate range. The main ingredients are local and global coupling, randomness, Zipf distribution of resources and price formation when inserting an order. The simulation starts with the initial public offer and comprises the broadcasting of news/advertisements and the building of the book, where all the selling and buying orders are stored. The model is able to reproduce fat tails and clustered volatility, the two most significant characteristics of a real stockmarket, being driven by very intuitive parameters.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 289 (2001)
Issue (Month): 3 ()
Contact details of provider:
Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/
Econophysics; Herding behavior; Artificial financial market; Coupling;
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Marco Licalzi & Paolo Pellizzari, 2003.
"Fundamentalists clashing over the book: a study of order-driven stock markets,"
Taylor & Francis Journals, vol. 3(6), pages 470-480.
- Marco LiCalzi & Paolo Pellizzari, 2002. "Fundamentalists Clashing over the Book: A Study of Order-Driven Stock Markets," Computational Economics 0207001, EconWPA, revised 04 Mar 2003.
- Boer-Sorban, K. & de Bruin, A. & Kaymak, U., 2005. "On the Design of Artificial Stock Markets," ERIM Report Series Research in Management ERS-2005-001-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Marco LiCalzi & Paolo Pellizzari, 2005.
"Breeds of risk-adjusted fundamentalist strategies in an order- driven market,"
- LiCalzi, Marco & Pellizzari, Paolo, 2006. "Breeds of risk-adjusted fundamentalist strategies in an order-driven market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 359(C), pages 619-633.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.