Agent-Based Models for Market Impact and Volatility
Jean-Philippe Bouchaud Capital Fund Management, Paris, France, Jean-Philippe.Bouchaud@cfm.fr
Abstract
Financial markets display a host of universal “stylized facts” begging for a scientific explanation: Excess volatility, fat tails, and clustered activity are well known and have been studied for many years. More microstructural stylized facts have recently emerged, for example the long memory of the order flow or the square-root dependence of impact on the volume of metaorders. Agent-based models are attempts to account for these stylized facts in a unified manner. Devising faithful microstructural ABMs would allow one to answer crucial questions, such as those related ...
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