100 citations · 881 across the 39 of their papers we have counts for
7 papers · 1 filter
Liquidity crises on different time scales
Francesco Corradi, Andrea Zaccaria, Luciano Pietronero
We present an empirical analysis of the microstructure of financial markets and, in particular, of the static and dynamic properties of liquidity. We find that on relatively large…
Critical Overview of Agent-Based Models for Economics
M. Cristelli, L. Pietronero, A. Zaccaria
We present an overview of some representative Agent-Based Models in Economics. We discuss why and how agent-based models represent an important step in order to explain the dynamic…
Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement
A. Zaccaria, M. Cristelli, V. Alfi +2
We show that the statistics of spreads in real order books is characterized by an intrinsic asymmetry due to discreteness effects for even or odd values of the spread. An analysis…
Liquidity Crisis, Granularity of the Order Book and Price Fluctuations
M. Cristelli, V. Alfi, L. Pietronero +1
We introduce a microscopic model for the dynamics of the order book to study how the lack of liquidity influences price fluctuations. We use the average density of the stored order…
Minimal Agent Based Model for Financial Markets II: Statistical Properties of the Linear and Multiplicative Dynamics
V. Alfi, M. Cristelli, L. Pietronero +1
We present a detailed study of the statistical properties of an Agent Based Model and of its generalization to the multiplicative dynamics. The aim of the model is to consider the…
Minimal Agent Based Model for Financial Markets I: Origin and Self-Organization of Stylized Facts
V. Alfi, M. Cristelli, L. Pietronero +1
We introduce a minimal Agent Based Model for financial markets to understand the nature and Self-Organization of the Stylized Facts. The model is minimal in the sense that we try t…
Minimal Agent Based Model For The Origin And Self-Organization Of Stylized Facts In Financial Markets
V. Alfi, L. Pietronero, A. Zaccaria
We introduce a minimal Agent Based Model with two classes of agents, fundamentalists (stabilizing) and chartists (destabilizing) and we focus on the essential features which can ge…