Fundamentalists clashing over the book: a study of order-driven stock markets
Agent-based models of market dynamics must strike a compromise between the structural assumptions that represent the trading mechanism and the behavioural assumptions that describe the rules by which traders make their decisions. We present a structurally detailed model of an order-driven stock market and show that a minimal set of behavioural assumptions suffices to generate a leptokurtic distribution of short-term log-returns. This result supports the conjecture that the emergence of some statistical properties of financial time series is due to the microstructure of stock markets.
If 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.
Volume (Year): 3 (2003)
Issue (Month): 6 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RQUF20 |
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RQUF20|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- P. Bak & M. Paczuski & Martin Shubik, 1996.
"Price Variations in a Stock Market with Many Agents,"
Cowles Foundation Discussion Papers
1132, Cowles Foundation for Research in Economics, Yale University.
- Bak, P. & Paczuski, M. & Shubik, M., 1997. "Price variations in a stock market with many agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 246(3), pages 430-453.
- P. Bak & M. Paczuski & M. Shubik, 1996. "Price Variations in a Stock Market with Many Agents," Working Papers 96-09-075, Santa Fe Institute.
- Welch, Ivo, 2000. "Herding among security analysts," Journal of Financial Economics, Elsevier, vol. 58(3), pages 369-396, December.
- Lux, T. & M. Marchesi, . "Volatility Clustering in Financial Markets: A Micro-Simulation of Interacting Agents," Discussion Paper Serie B 437, University of Bonn, Germany, revised Jul 1998.
- repec:att:wimass:9625 is not listed on IDEAS
- J. Doyne Farmer & Shareen Joshi, 2000.
"The price dynamics of common trading strategies,"
- Milgrom, Paul & Stokey, Nancy, 1982.
"Information, trade and common knowledge,"
Journal of Economic Theory,
Elsevier, vol. 26(1), pages 17-27, February.
- Cohen, Kalman J, et al, 1978. "Limit Orders, Market Structure, and the Returns Generation Process," Journal of Finance, American Finance Association, vol. 33(3), pages 723-36, June.
- Maslov, Sergei, 2000. "Simple model of a limit order-driven market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 278(3), pages 571-578.
- Day, Richard H. & Huang, Weihong, 1990.
"Bulls, bears and market sheep,"
Journal of Economic Behavior & Organization,
Elsevier, vol. 14(3), pages 299-329, December.
- Steiglitz, Ken & Shapiro, Daniel, 1998. "Simulating the Madness of Crowds: Price Bubbles in an Auction-Mediated Robot Market," Computational Economics, Society for Computational Economics, vol. 12(1), pages 35-59, August.
- W. Brian Arthur & John H. Holland & Blake LeBaron & Richard Palmer & Paul Taylor, 1996.
"Asset Pricing Under Endogenous Expectation in an Artificial Stock Market,"
96-12-093, Santa Fe Institute.
- Matassini, Lorenzo & Franci, Fabio, 2001. "On financial markets trading," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 289(3), pages 526-542.
- Carl Chiarella & Giulia Iori, 2002. "A simulation analysis of the microstructure of double auction markets," Quantitative Finance, Taylor & Francis Journals, vol. 2(5), pages 346-353.
When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:3:y:2003:i:6:p:470-480. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.