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Pré-Publication, Document De Travail Année : 2004

Heterogeneity and feedback in an agent-based market model.

Résumé

I propose an agent-based model of a single-asset financial market, described in terms of a small number of parameters, that generates price returns with statistical properties similar to the stylized facts observed in financial time series. I show that the joint effect of feedback and heterogeneity leads to a market price that fluctuates endlessly and a volatility that displays a mean-reverting behavior. This agent-based model generically leads to an absence of autocorrelation in returns, stochastic volatility, excess volatility, volatility clustering and endogeneous bursts of market activity that is not attributable to external noise. The model's parsimonious structure allows the identification of the mechanism leading to these effects. I investigate some properties of this model theoretically and present numerical simulation of other properties.
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Dates et versions

hal-00002297 , version 1 (23-07-2004)
hal-00002297 , version 2 (28-08-2004)
hal-00002297 , version 3 (01-12-2004)

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Francois Ghoulmie. Heterogeneity and feedback in an agent-based market model.. 2004. ⟨hal-00002297v2⟩
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