Marco Raberto

Learn More
This paper introduces an agent-based artificial financial market in which heterogeneous agents trade one single asset through a realistic trading mechanism for price formation. Agents are initially endowed with a finite amount of cash and a given finite portfolio of assets. There is no money-creation process; the total available cash is conserved in time.(More)
In financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we analyse the statistical properties of General Electric stock prices, traded at NYSE, in October 1999. These properties are critically revised in the framework of theoretical(More)
In high-frequency financial data not only returns, but also waiting times between consecutive trades are random variables. Therefore, it is possible to apply continuous-time random walks (CTRWs) as phenomenological models of the highfrequency price dynamics. An empirical analysis performed on the 30 DJIA stocks shows that the waiting-time survival(More)
The recent financial crises pointed out the central role of public and private debt in modern economies. However, even if debt is a recurring topic in discussions about the current economic situation, economic modelling does not take into account debt as one of the crucial determinants of economic dynamics. Our contribution, in this paper, is to investigate(More)
Continuous-time random walks can be used as phenomenological models of high-frequency time dynamics in financial markets. Empirical analyses show that the intertrade durations (or waiting-times) are non-exponentially distributed. This fact imposes constraints on agent-based models of financial markets based on continuousdouble auctions.
A simulation of high-frequency market data is performed with the Genoa Artificial Stock Market. Heterogeneous agents trade a risky asset in exchange for cash. Agents have zero intelligence and issue random limit or market orders depending on their budget constraints. The price is cleared by means of a limit order book. A renewal order-generation process is(More)