An empirical behavioral model of liquidity and volatility

We develop a behavioral model for liquidity and volatility based on empirical regularities in trading order flow in the London Stock Exchange. This can be viewed as a very simple agent-based model in which all components of the model are validated against real data. Our empirical studies of order fl...

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Bibliographic details

Volume:	32
Main Author:	Mike, Szabolcs Farmer, J. Doyne
Format:	Journal Article
Language:	English
Zielgruppe:	Academic
Place of publication:	AMSTERDAM Elsevier B.V 2008 ELSEVIER Elsevier
published in:	Journal of economic dynamics & control Vol. 32; no. 1; pp. 200 - 234
Data of publication:	2008
ISSN:	0165-1889 1879-1743
EISSN:	1879-1743
Discipline:	Economics
Series:	Journal of Economic Dynamics and Control
Subjects:	General financial markets Volatility Bid-ask spread Behavioral finance Economics Business & Economics Social Sciences Analysis Models Liquidity (Finance) General financial markets Volatility Bid-ask spread Behavioral finance G10 behavioral finance general financial markets PRICE STOCK-MARKET INVESTORS FLUCTUATIONS LONG-MEMORY STATISTICAL PROPERTIES POWER bid-ask spread volatility
Online Access:	available in Bonn?
Database:	Social Sciences Citation Index Web of Science - Social Sciences Citation Index - 2008 Web of Knowledge Web of Science RePEc RePEc IDEAS CrossRef Academic OneFile (A&I only) Database information Databases - DBIS