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dc.contributor.authorPonta, L.
dc.contributor.authorScalas, E. 
dc.contributor.authorRaberto, M.
dc.contributor.authorCincotti, S.
dc.date.accessioned2017-02-21T08:18:20Z
dc.date.available2017-02-21T08:18:20Z
dc.date.issued2012-12-31
dc.identifier.issn1932-4553
dc.identifier.urihttp://hdl.handle.net/20.500.11824/575
dc.description.abstractA 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 used having a waiting-time distribution between consecutive orders that follows a Weibull law, in line with previous studies. The simulation results show that this mechanism can reproduce fat-tailed distributions of returns without ad-hoc behavioral assumptions on agents. In the simulated trade process, when the order waiting-times are exponentially distributed, trade waiting times are exponentially distributed. However, if order waiting times follow a Weibull law, analogous results do not hold. These findings are interpreted in terms of a random thinning of the order renewal process. This behavior is compared with order and trade durations taken from real financial data.
dc.formatapplication/pdf
dc.language.isoengen_US
dc.rightsReconocimiento-NoComercial-CompartirIgual 3.0 Españaen_US
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/es/en_US
dc.subjectArtificial stock market
dc.subjecthigh-frequency financial time-series
dc.subjectrandom thinning
dc.subjectWeibull distribution
dc.titleStatistical analysis and agent-based microstructure modeling of high-frequency financial trading
dc.typeinfo:eu-repo/semantics/articleen_US
dc.identifier.doi10.1109/JSTSP.2011.2174192
dc.relation.publisherversionhttps://www.scopus.com/inward/record.uri?eid=2-s2.0-84864127180&doi=10.1109%2fJSTSP.2011.2174192&partnerID=40&md5=93a1684e03b2f6ee936b3559812448e0
dc.rights.accessRightsinfo:eu-repo/semantics/openAccessen_US
dc.type.hasVersioninfo:eu-repo/semantics/publishedVersionen_US
dc.journal.titleIEEE Journal on Selected Topics in Signal Processingen_US


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Reconocimiento-NoComercial-CompartirIgual 3.0 España
Except where otherwise noted, this item's license is described as Reconocimiento-NoComercial-CompartirIgual 3.0 España