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- W3123403742 abstract "Agent-based models of market dynamics must strike a compromise between the structural assumptions that represent the trading mechanism and the behavioral assumptions that describe the rules by which traders take their decisions. We present a structurally detailed model of an order- driven stock market and show that a minimal set of behavioral assumptions suffices to generate a leptokurtic distribution of short- term log-returns. This result backs up the conjecture that the emergence of some statistical properties of financial time series is due to the microstructure of stock markets." @default.
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- W3123403742 date "2003-03-04" @default.
- W3123403742 modified "2023-09-23" @default.
- W3123403742 title "Fundamentalists Clashing over the Book: A Study of Order-Driven Stock Markets" @default.
- W3123403742 hasPublicationYear "2003" @default.
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