English, Article, Journal or magazine article edition: A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market Carl Chiarella; Xue-Zhong He; Paolo Pellizzari

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Bookmark: http://trove.nla.gov.au/version/31850
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market
Author
  • Carl Chiarella
  • Xue-Zhong He
  • Paolo Pellizzari
Physical Description
  • preprint
Notes
  • Inspired by the theoretically oriented dynamic analysis of moving average rules in Chiarella, He and Hommes (CHH) (2006a) model, this paper conducts a dynamic analysis of a microstructure model of continuous double auctions in which the probability of heterogeneous agents to trade is determined by the rules of either fundamentalists mean-reverting to the fundamental or chartists choosing moving average rules based their relative performance. With such a realistic market microstructure, the model is able not only to obtain the results of the CHH model but also to characterise most of the stylized facts including the power-law behaviour of volatility. The results seem to suggest that a comprehensive explanation of several statistical properties of returns is possible in a framework where both behavioral traits and realistic microstructure have a role.
  • microstructure model; continuous double auctions; heterogeneous agents; stylized facts
  • RePEc:uts:rpaper:251
Language
  • English
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