The three-state agent-based 2D model of financial markets as proposed by Giulia Iori has been extended by introducing increasing trust in the correctly predicting agents, a more realistic consultation procedure as well as a formal validation mechanism. This paper shows that such a model correctly reproduces the three fundamental stylised facts: fat-tail log returns, power-law volatility autocorrelation decay in time and volatility clustering.
@article{arxiv.1310.0762,
title = {Agent-Based Stock Market Model with Endogenous Agents' Impact},
author = {Jan A. Lipski and Ryszard Kutner},
journal= {arXiv preprint arXiv:1310.0762},
year = {2013}
}
Comments
Submitted to the Journal of Economic Interaction and Coordination