Avalanche Dynamics and Trading Friction E ects on Stock Market Returns
نویسنده
چکیده
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 e ects 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 Keyword Stock market models volatility clustering complex systems
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