A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions
AbstractWe 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 either from an aggregate exogenous shock or, even in its absence, purely from communication and imitation among traders. A trade friction is introduced which, by responding to price movements, creates a feedback mechanism on future trading and generates volatility clustering.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 9905005.
Length: 12 pages
Date of creation: 12 May 1999
Date of revision:
Note: Type of Document - LaTex; prepared on Unix; to print on PostScript; pages: 12 ; figures: included
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market microstucture; volatility clustering;
Other versions of this item:
- Iori, Giulia, 2002. "A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 269-285, October.
- Giulia Iori, 2000. "A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions," Finance 0004007, EconWPA.
- G - Financial Economics
- D9 - Microeconomics - - Intertemporal Choice
- C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
This paper has been announced in the following NEP Reports:
- NEP-ALL-1999-06-23 (All new papers)
- NEP-EVO-1999-07-12 (Evolutionary Economics)
- NEP-FIN-1999-06-23 (Finance)
- NEP-MIC-1999-06-23 (Microeconomics)
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