2003/01/01 by Alexander Pfister, Pfister, Alexander · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Financial Markets and Investment Strategies #Stock Market Forecasting Methods
paper · pdf · doi:10.57938/c1df2185-bfb9-4808-a89a-eeb8c05e8f82
openalex publication_date 2003/01/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/23
This paper studies the dynamics of an asset pricing model based on simple deterministic agents. Traders are heterogeneous with respect to their time horizon, prediction function and trade interval. Concerning the trade interval we distinguish between intraday traders and end-of-day traders. Intraday traders update their portfolio every period, whereas end-of-day traders adjust their positions only at the closing price of each trading day. The parameter values of the model were partially determined by an adapted Markov chain Monte Carlo sampling method. We analyse the properties of the time series and find that they exhibit low autocorrelation of the returns, volatility clustering and fat tails. Particularly heterogeneous trade intervals seem to be an important factor for generating time series showing "stylized facts". (author's abstract)