François Ghoulmie et al 2005 J. Phys.: Condens. Matter 17 S1259 doi:10.1088/0953-8984/17/14/015
François Ghoulmie1, Rama Cont2 and Jean-Pierre Nadal1
Show affiliationsWe propose an agent-based model of a single-asset financial market, described in terms of a small number of parameters, which generates price returns with statistical properties similar to the stylized facts observed in financial time series. Our agent-based model generically leads to the absence of autocorrelation in returns, self-sustaining excess volatility, mean-reverting volatility, volatility clustering and endogenous bursts of market activity non-attributable to external noise. The parsimonious structure of the model allows the identification of feedback and heterogeneity as the key mechanisms leading to these effects.
02.50.-r Probability theory, stochastic processes, and statistics
Issue 14 (13 April 2005)
Received 3 September 2004, in final form 17 November 2004
Published 24 March 2005
François Ghoulmie et al 2005 J. Phys.: Condens. Matter 17 S1259
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