Liu, Xiaofei. The
Contribution Of Trader Interaction To Market Noise. Doctoral Dissertation,
Cornell University.
Inspired by the Cucker-Smale
flocking idea, we introduce a heterogeneous agent-based price model that
captures explicitly the impact of trader interaction on asset price dynamics,
in order to provide insights to a wide range of puzzling stylized facts
observed in financial asset returns. Discrete-time models for communication
among individual market participants are investigated in Chapter 3, while the
role of an influential central authority, such as an equity analyst's report,
is studied under a continuous-time setting in Chapter 4. In both cases, we
provide limit theorems for normalized sums of dependent stochastic processes
that allow us to study analytically the aggregated effect of micro-level
communications among a large number of market participants. In addition, we
demonstrate via numerical examples that our price model is capable of reproducing
asset returns with statistical properties, such as heavy tails, aggregational
Gaussianity and volatility clustering, that are in harmony with empirical
observations.
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