A detailed heterogeneous agent model for a single asset financial market with trading via an order book.

A detailed heterogeneous agent model for a single asset financial market with trading via an order book.

Blog Article

We present an agent based model of a single asset financial market that is capable of replicating Resistance Cable most of the non-trivial statistical properties observed in real financial markets, generically referred to as stylized facts.In our model agents employ strategies inspired on those used in real markets, and a realistic trade mechanism based on a double auction order book.We study the role of the distinct types of trader on the return statistics: pycnogenol specifically, correlation properties (or lack thereof), volatility clustering, heavy tails, and the degree to which the distribution can be described by a log-normal.

Further, by introducing the practice of "profit taking", our model is also capable of replicating the stylized fact related to an asymmetry in the distribution of losses and gains.