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 behavioral assumptions that describe the rules by which traders take their decisions. We present a structurally detailed model of an order- driven stock market and show that a minimal set of behavioral assumptions suffices to generate a leptokurtic distribution of short- term log-returns. This result backs up the conjecture that the emergence of some statistical properties of financial time series is due to the microstructure of stock markets.
|Date of creation:||12 Jul 2002|
|Date of revision:||04 Mar 2003|
|Note:||Type of Document - pdf; prepared on Macintosh; to print on Postcript; pages: 19; figures: included|
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