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Heterogeneous trade intervals in an agent based financial market

Pfister, Alexander (2003) Heterogeneous trade intervals in an agent based financial market. Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science", 99. SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, Vienna.

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Abstract

This paper studies the dynamics of an asset pricing model based on simple deterministic agents. Traders are heterogeneous with respect to their time horizon, prediction function and trade interval. Concerning the trade interval we distinguish between intraday traders and end-of-day traders. Intraday traders update their portfolio every period, whereas end-of-day traders adjust their positions only at the closing price of each trading day. The parameter values of the model were partially determined by an adapted Markov chain Monte Carlo sampling method. We analyse the properties of the time series and find that they exhibit low autocorrelation of the returns, volatility clustering and fat tails. Particularly heterogeneous trade intervals seem to be an important factor for generating time series showing "stylized facts". (author's abstract)

Item Type: Paper
Keywords: agent-based models / heterogeneous agents / endogenous stock price fluctuations / artificial markets
Divisions: Departments > Informationsverarbeitung u Prozessmanag. > Produktionsmanagement > Taudes
Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Departments > Marketing > Service Marketing und Tourismus
Departments > Informationsverarbeitung u Prozessmanag. > Informationswirtschaft
Depositing User: Repository Administrator
Date Deposited: 10 Nov 2003 11:16
Last Modified: 03 Jun 2015 10:28
URI: http://epub.wu.ac.at/id/eprint/658

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