A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions

Nonlinear Sciences – Adaptation and Self-Organizing Systems

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

Scientific paper

We propose a model with heterogeneous interacting traders which can explain some of the stylized facts of stock market returns. In the model synchronization effects, which generate large fluctuations in returns, can arise either from an aggregate exogenous shock or, even in its absence, purely from communication and imitation among traders. A trade friction is introduced which, by responding to price movements, creates a feedback mechanism on future trading and generates volatility clustering.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions will most certainly appreciate the feedback.

Rate now

     

Profile ID: LFWR-SCP-O-247474

  Search
All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.