1 Introduction -- 2 Microstructure Foundations -- 3 Empirical Properties of High-Frequency Data -- 4 Financial Point Processes -- 5 Univariate Multiplicative Error Models -- 6 Generalized Multiplicative Error Models -- 7 Vector Multiplicative Error Models -- 8 Modelling High-Frequency Volatility...

Volatility clustering and fat tails are prominently observed in financial markets. Here, we analyze the underlying mechanisms of three agent-based models explaining these stylized facts in terms of market instabilities and compare them on empirical grounds. To this end, we first develop a...