A detailed heterogeneous agent model for a single asset financial market with trading via an order book

We present an agent based model of a single asset financial market that is capable of replicating most of the non-trivial statistical properties observed in real financial markets, generically referred to as stylized facts. In our model agents employ strategies inspired on those used in real markets...

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Veröffentlicht in:	PloS one 2017-02, Vol.12 (2), p.e0170766-e0170766
Hauptverfasser:	Mota Navarro, Roberto, Larralde, Hernán
Format:	Artikel
Sprache:	eng
Schlagworte:	Analysis Behavior Biology and Life Sciences Clustering Commerce Computer and Information Sciences Computer Simulation Economic models Financial Management - economics Financial markets Financial Statements Forecasts and trends Investments - economics Markets Models, Economic Models, Statistical Normal distribution Oscillometry Physical Sciences Prices Replicating Replication Research and Analysis Methods Securities markets Skewed distributions Skewness Social Sciences Statistical mechanics Stock exchanges Time series Volatility
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