Agents switching between two trading behaviors and the stylized facts of financial markets.
Résumé
We propose an agent-based model of a single-asset financial market, described in terms of a small number of parameters. We show that agents switching between two trading behaviors (informed vs. liquidity traders) leads to a market price which fluctuates endlessly and a volatility which displays a mean-reverting behavior : the volatility goes neither to zero nor to infinity in the long-run. Our agent-based model generically leads to price returns with statistical properties similar to the stylized facts observed in financial time series: absence of autocorrelation in returns, stochastic volatility, excess volatility, volatility clustering non-attributable to the external signal. The parsimonious structure of the model allows to identify the mechanism leading to these effects. We investigate theoretically some properties of this model and present analytical results.