AVALANCHE DYNAMICS AND TRADING FRICTION EFFECTS ON STOCK MARKET RETURNS
1999 ◽
Vol 10
(06)
◽
pp. 1149-1162
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Keyword(s):
We propose a model with heterogeneous interacting traders which can explain some of the stylized facts of stock market returns. A generalized version of the Random Field Ising Model (RFIM) is introduced to describe trading behavior. Imitation effects, which induce agents to trade, can generate avalanches in trading volume and large gaps in demand and supply. A trade friction is introduced which, by responding to price movements, creates a feedback mechanism on future trading and generates volatility clustering.
2017 ◽
Vol 4
(2)
◽
pp. 13
◽
1999 ◽
Vol 23
(6)
◽
pp. 897-924
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Keyword(s):
2015 ◽
Vol 29
(4)
◽
pp. 3-8
◽
Keyword(s):
2020 ◽
Vol 5
(1)
◽
pp. 42-50
2020 ◽
Vol 24
(02)
◽
pp. 1184-1204
Keyword(s):