A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions
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- 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, 1999. "A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions," Finance 9905005, University Library of Munich, Germany.
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More about this item
Keywords
Volatility clustering; fat tails; trading volume; herd behaviour.;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EVO-2001-02-14 (Evolutionary Economics)
- NEP-FMK-2001-02-14 (Financial Markets)
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