A microsimulation of traders activity in the stock market : the role of heterogeneity , agents ’ interactions and trade frictions

@inproceedings{Iori2000AMO,
  title={A microsimulation of traders activity in the stock market : the role of heterogeneity , agents ’ interactions and trade frictions},
  author={Giulia Iori},
  year={2000}
}
A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions. Abstract We propose a model with heterogeneous interacting traders which can explain some of the stylized facts of stock market returns. In the model, synchronization effects, which generate large fluctuations in returns, can arise purely from communication and imitation among traders. The key element in the model is the introduction of a trade friction which, by… CONTINUE READING
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