Abstract
We propose an agent-based model of a single-asset financial market, described in terms of asmall number of parameters, which generates price returns with statistical propertiessimilar to the stylized facts observed in financial time series. Our agent-based modelgenerically leads to the absence of autocorrelation in returns, self-sustaining excessvolatility, mean-reverting volatility, volatility clustering and endogenous bursts of marketactivity non-attributable to external noise. The parsimonious structure of the model allowsthe identification of feedback and heterogeneity as the key mechanisms leading to theseeffects.
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