2018/12 | LEM Working Paper Series | ||||||||||||||||
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An agent-based model of intra-day financial markets dynamics |
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Jacopo Staccioli and Mauro Napoletano |
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Keywords | |||||||||||||||||
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Intraday financial dynamics, Stylized facts, Agent-based artificial stock markets, Market microstructure, High-Frequency Trading
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JEL Classifications | |||||||||||||||||
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C63, D84, G12
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Abstract | |||||||||||||||||
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We propose a parsimonious agent-based model of a financial market at
the intra-day time scale that is able to jointly reproduce many of the
empirically validated stylised facts. 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 constributions we introduce a
strict event scheduling borrowed from the Euronext exchange, and an
endogenous rule for traders' participation. We find that the latter
proves crucial for matching our target stylised facts.
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