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An agent-based model of intra day financial markets dynamics

Author

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  • Jacopo Staccioli

    (Scuola Superiore Sant'Anna, Pisa, Italy)

  • Mauro Napoletano

    (OFCE, Sciences Po, Paris, France)

Abstract

We build an agent based model of a financial market that is able to jointly reproduce many of the stylized facts at different time-scales. These include properties related to returns (leptokurtosis, absence of linear autocorrelation, volatility clustering), trading volumes (volume clustering, correlation betwenn volume and volatility), and timing of trades (number of price changes, autocorrelation of durations between subsequent trades, heavy tails in their distribution, order-side clustering). With respect to previous contributions we introduce a strict event scheduling borrowed from the Euronext exchange, and an endogenous rule for traders participation. We show that such a rule is crucial to match stylized facts.

Suggested Citation

  • Jacopo Staccioli & Mauro Napoletano, 2018. "An agent-based model of intra day financial markets dynamics," Documents de Travail de l'OFCE 2018-34, Observatoire Francais des Conjonctures Economiques (OFCE).
  • Handle: RePEc:fce:doctra:1834
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    References listed on IDEAS

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    More about this item

    Keywords

    Intra-day financial dynmaics; stylized facts; agent-based artificial stock markets; Market microstructure;

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • E12 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Keynes; Keynesian; Post-Keynesian; Modern Monetary Theory
    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • O4 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity

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