title: A detailed heterogeneous agent model for a single asset financial market with trading via an order book.
abstract: We present an agent based model of a single asset financial market that is capable of replicating most of the non-trivial statistical properties observed in real financial markets, generically referred to as stylized facts. In our model agents employ strategies inspired on those used in real markets, and a realistic trade mechanism based on a double auction order book. We study the role of the distinct types of trader on the return statistics: specifically, correlation properties (or lack thereof), volatility clustering, heavy tails, and the degree to which the distribution can be described by a log-normal. Further, by introducing the practice of "profit taking", our model is also capable of replicating the stylized fact related to an asymmetry in the distribution of losses and gains.
authors.affiliation: Instituto de Ciencias Físicas, Cuernavaca, Morelos, México.
authors.forename: Roberto
authors.identifier: http://orcid.org/0000-0002-6077-7386
authors.initials: R
authors.lastname: Mota Navarro
authors.affiliation: Instituto de Ciencias Físicas, Cuernavaca, Morelos, México.
authors.forename: Hernán
authors.initials: H
authors.lastname: Larralde
mesh_terms: D003132:Commerce; D003198:Computer Simulation; D005376:Financial Management / Q000191:economics*; D000067571:Financial Statements; D007449:Investments / Q000191:economics*; D018803:Models, Economic; D015233:Models, Statistical; D009991:Oscillometry