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Published in:
2009 | OriginalPaper | Chapter
A Generative Approach on the Relationship between Trading Volume, Prices, Returns and Volatility of Financial Assets
Authors : José Antonio Pascual, Javier Pajares
Published in: Artificial Economics
Publisher: Springer Berlin Heidelberg
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The relationship among trading volume, prices, returns, etc., of financial assets is complex, but its proper understanding may be of great influence on the development of financial theories. Throughout the last half century, many researchers have faced the issue, but a general consensus has not been reached. In this paper, we propose to use agent based simulation, a methodology that allows us to recreate different scenarios to reproduce the observed behavior in financial markets.