An agent-based model of intra-day financialmarkets dynamics

Jacopo Staccioli (1) , Mauro Napoletano (2)

1 SSSUP - Scuola Universitaria Superiore Sant'Anna [Pisa]
2 OFCE - Observatoire français des conjonctures économiques (Sciences Po)

We build an agent-based model of a financial market that is able to jointly reproduce many of the stylized facts at different time-scales. These include properties related to returns (leptokurtosis, absence of linear autocorrelation, volatility clustering), trading volumes (volume clustering, correlation between volume and volatility), and timing of trades (number of price changes, autocorrelation of durations between subsequent trades, heavy tail in their distribution, order-side clustering). With respect to previous contributions we introduce a strict event scheduling borrowed from the EURONEXT exchange, and an endogenous rule for traders participation. We show that such a rule is crucial to match stylized facts.

Keywords: Intra-day financial dynamics; Stylized facts; Agent-based artificial stock markets; Market microstructure; High frequency trading

Domains: Humanities and Social Sciences; Economics and Finance

Jacopo Staccioli, Mauro Napoletano. An agent-based model of intra-day financialmarkets dynamics. 2018. ⟨hal-03471566⟩