Una aproximación generativa a la relación entre el volumen negociado, el precio, la rentabilidad y la volatilidad de los activos financieros
- Pascual Ruano, José Antonio
- Pajares Gutiérrez, Javier
- López Fabal, Adolfo
ISSN: 1132-175X
Year of publication: 2008
Issue Title: XII Congreso de Ingeniería de Organización. 2nd International Conference on Industrial Engineering and Industrial Management
Issue: 37
Pages: 5-13
Type: Article
More publications in: Dirección y organización: Revista de dirección, organización y administración de empresas
Abstract
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 behavior observed in financial markets.