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A Generative Approach on the Relationship between Trading Volume, Prices, Returns and Volatility of Financial Assets

In: Artificial Economics

Author

Listed:
  • José Antonio Pascual

    (Universidad de Valladolid)

  • Javier Pajares

    (Universidad de Valladolid)

Abstract

The relationship among trading volume, prices, returns, etc., of financial assets is complex, but its proper understanding may be of great influence on the development of financial theories. Throughout the last half century, many researchers have faced the issue, but a general consensus has not been reached. In this paper, we propose to use agent based simulation, a methodology that allows us to recreate different scenarios to reproduce the observed behavior in financial markets.

Suggested Citation

  • José Antonio Pascual & Javier Pajares, 2009. "A Generative Approach on the Relationship between Trading Volume, Prices, Returns and Volatility of Financial Assets," Lecture Notes in Economics and Mathematical Systems, in: Cesáreo Hernández & Marta Posada & Adolfo López-Paredes (ed.), Artificial Economics, chapter 0, pages 185-196, Springer.
    • Handle: RePEc:spr:lnechp:978-3-642-02956-1_15
    DOI: 10.1007/978-3-642-02956-1_15
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    Cited by:

    1. Haijun Yang & Shuheng Chen, 2018. "A heterogeneous artificial stock market model can benefit people against another financial crisis," PLOS ONE, Public Library of Science, vol. 13(6), pages 1-25, June.

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