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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 ...
Executing large orders in a microscopic market model
market micro structure illiquid markets optimal trading strategies
2010/11/1
In a recent paper, Alfonsi, Fruth and Schied (AFS) propose a simple order book based model for the impact of large orders on stock prices.They use this model to derive optimal strategies for the execu...
Microscopic Study Reveals the Singular Origins of Growth
Microscopic Study Reveals Singular Origins Growth
2010/12/17
P.W. Anderson proposed the concept of complexity in order to describe the emergence and growth of macroscopic collective patterns out of the simple interactions of many microscopic agents. In the phy...