Skip navigation
Skip navigation

The effects of behavioural and structural assumptions in artificial stock market

Gregor, Shirley; Liu, Xinghua; Yang, Jianmei


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
Source: Physica A: Statistical mechanics and its applications
DOI: 10.1016/j.physa.2008.01.025


File Description SizeFormat Image
01_Gregor_The_effects_of_behavioural_and_2008.pdf999.17 kBAdobe PDF    Request a copy

Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  17 November 2022/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator