This study investigates empirically the presence of nonlinearities in the Athens Composite Share Price Index high-frequency returns. A preliminary analysis indicates that volatility exhibits a periodic intraday inverse J-shaped pattern, associated with the opening and closing of the market....

A spring–block chain placed on a running conveyor belt is considered for modeling stylized facts observed in the dynamics of stock indexes. Individual stocks are modeled by the blocks, while the stock–stock correlations are introduced via simple elastic forces acting in the springs. The...

Recent literature has developed the conjecture that important statistical features of stock price series, such as the fat tails phenomenon, may depend mainly on the market microstructure. This conjecture motivated us to investigate the roles of both the market microstructure and agent behavior...

This paper modifies a previously introduced class of heterogeneous agent models in a way that allows for the inclusion of different types of agent motivations and behaviours in a consistent manner. The agents operate within a highly simplified environment where they are only able to be long or...

The minority game is a generic model of competing adaptive agents, which is often believed to be a model of financial markets. We discuss to which extent this is a reasonable statement, and present minimal modifications that make this model reproduce stylized facts. The resulting model shows...

Based on the tick-by-tick stock prices from the German and American stock markets, we study the statistical properties of the distribution of the individual stocks and the index returns in highly collective and noisy intervals of trading, separately. We show that periods characterized by the...

We present and study a Minority Game based model of a financial market where adaptive agents—the speculators—interact with deterministic agents—called producers. Speculators trade only if they detect predictable patterns which grant them a positive gain. Indeed the average number of active...

We investigate the process that different interactions between investors will prompt information to propagate along a differentiated path and construct a financial market model. As information spreads, increasingly investors are attracted to participate in trading, then the “herding effect”...

In this paper we will try to assess the multifractality displayed by the high-frequency returns of Madrid’s Stock Exchange Ibex35 index. A Multifractal Detrended Fluctuation Analysis shows that this index has a wide singularity spectrum which is most likely caused by its long-memory. Our...

Universal features in stock markets and their derivative markets are studied by means of probability distributions in internal rates of return on buy and sell transaction pairs. Unlike the stylized facts in normalized log returns, the probability distributions for such single asset encounters...