A detailed heterogeneous agent model for a single asset financial market with trading via an order book
Authored by Navarro Roberto Mota, Hernan Larralde
Date Published: 2017
DOI: 10.1371/journal.pone.0170766
Sponsors:
National Council of Science and Technology (CONACYT)
Platforms:
No platforms listed
Model Documentation:
Other Narrative
Model Code URLs:
Model code not found
Abstract
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, and a realistic trade mechanism based on a double auction
order book. We study the role of the distinct types of trader on the
return statistics: specifically, correlation properties (or lack
thereof), volatility clustering, heavy tails, and the degree to which
the distribution can be described by a log-normal. Further, by
introducing the practice of ``profit taking{''}, our model is also
capable of replicating the stylized fact related to an asymmetry in the
distribution of losses and gains.
Tags
emergence
Long memory
Distributions
Power
Volatility
law
Stock returns
Rules
Impact
Price fluctuations