An empirical behavioral model of liquidity and volatility

We develop a behavioral model for liquidity and volatility based on empirical regularities in trading order flow in the London Stock Exchange. This can be viewed as a very simple agent-based model in which all components of the model are validated against real data. Our empirical studies of order fl...

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Veröffentlicht in:	Journal of economic dynamics & control 2008, Vol.32 (1), p.200-234
Hauptverfasser:	Mike, Szabolcs, Farmer, J. Doyne
Format:	Artikel
Sprache:	eng
Schlagworte:	Behavioral finance Bid-ask spread Economic behaviour Economic models Empirical research Finance General financial markets Liquidity Prices Stock exchange Stock exchanges Stock prices Studies Volatility
Online-Zugang:	Volltext
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