An agent-based model of intra-day financialmarkets dynamics - Sciences Po Access content directly
Preprints, Working Papers, ... Year : 2018

An agent-based model of intra-day financialmarkets dynamics

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 between volume and volatility), and timing of trades (number of price changes, autocorrelation of durations between subsequent trades, heavy tail 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.
Fichier principal
Vignette du fichier
wp2018-34-an-agent-based-model-of-intra-day-jstaccioli.pdf (679.48 Ko) Télécharger le fichier
Origin : Publisher files allowed on an open archive

Dates and versions

hal-03471566 , version 1 (08-12-2021)

Identifiers

Cite

Jacopo Staccioli, Mauro Napoletano. An agent-based model of intra-day financialmarkets dynamics. 2018. ⟨hal-03471566⟩
31 View
197 Download

Share

Gmail Facebook X LinkedIn More