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Microscopic understanding of heavy-tailed return distributions in an agent-based model
Microscopic understanding of heavy-tailed return distributions agent-based model
2012/9/14
The distribution of returns in nancial time series exhibits heavy tails. In empirical studies, it has been found that gaps between the orders in the order book lead to large price shifts and thereby ...
Microscopic reasoning for the non-linear stochastic models of long-range memory
microfoundations agent based models stochastic models fnancial markets long-range memory
2011/7/4
We extend Kirman's model by introducing variable event time scale. The proposed
exi-
ble time scale is equivalent to the variable trading activity observed in nancial markets.
Stochastic version ...