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:
G10
Online Access: available in Bonn?
Database: Social Sciences Citation Index
Web of Science - Social Sciences Citation Index - 2008
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