ﻻ يوجد ملخص باللغة العربية
We introduce a minimal Agent Based Model with two classes of agents, fundamentalists (stabilizing) and chartists (destabilizing) and we focus on the essential features which can generate the stylized facts. This leads to a detailed understanding of the origin of fat tails and volatility clustering and we propose a mechanism for the self-organization of the market dynamics in the quasi-critical state. The stylized facts are shown to correspond to finite size effects which, however, can be active at different time scales. This implies that universality cannot be expected in describing these properties in terms of effective critical exponents. The introduction of a threshold in the agents action (small price fluctuations lead to no-action) triggers the self-organization towards the quasi-critical state. Non-stationarity in the number of active agents and in their action plays a fundamental role. The model can be easily generalized to more realistic variants in a systematic way.
We introduce a minimal Agent Based Model for financial markets to understand the nature and Self-Organization of the Stylized Facts. The model is minimal in the sense that we try to identify the essential ingredients to reproduce the main most import
We present a detailed study of the statistical properties of an Agent Based Model and of its generalization to the multiplicative dynamics. The aim of the model is to consider the minimal elements for the understanding of the origin of the Stylized F
In this work we afford the statistical characterization of a linear Stochastic Volatility Model featuring Inverse Gamma stationary distribution for the instantaneous volatility. We detail the derivation of the moments of the return distribution, reve
We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V-shaped and {it vanishes} around the current price. This result is generic, and only relies on mild assumptions about the order flow and on the
We present results on simulations of a stock market with heterogeneous, cumulative information setup. We find a non-monotonic behaviour of traders returns as a function of their information level. Particularly, the average informed agents underperfor