Heterogeneous trade intervals in an agent based financial market

Alexander Pfister

Publication: Working/Discussion PaperWU Working Paper

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)
Original languageEnglish
Place of PublicationVienna
PublisherSFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business
Publication statusPublished - 2003

Publication series

NameWorking Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
No.99

WU Working Paper Series

  • Working Papers SFB \Adaptive Information Systems and Modelling in Economics and Management Science\

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