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The effects of behavioural and structural assumptions in artificial stock market

Gregor, Shirley; Liu, Xinghua; Yang, Jianmei

Description

Recent literature has developed the conjecture that important statistical features of stock price series, such as the fat tails phenomenon, may depend mainly on the market microstructure. This conjecture motivated us to investigate the roles of both the market microstructure and agent behavior with respect to high-frequency returns and daily returns. We developed two simple models to investigate this issue. The first one is a stochastic model with a clearing house microstructure and a...[Show more]

CollectionsANU Research Publications
Date published: 2008
Type: Journal article
URI: http://hdl.handle.net/1885/21065
Source: Physica A: Statistical mechanics and its applications
DOI: 10.1016/j.physa.2008.01.025

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