Design of a microscopic model adapted to emerging financial markets
the case of the Moroccan financial market
DOI:
https://doi.org/10.59051/joaf.v13i1.514Keywords:
Adaptive Markets Hypothesis (AMH), Agent-Based Model (ABM), Degree of time-varying market efficiency, Efficiency Market Hypothesis (EMH), stylized factsAbstract
Objective: The aim of of this article is to design a microscopic model, under the Adaptive Market Hypothesis (AMH), which can explain the formation of equilibrium prices and the market efficiency dynamics of the Moroccan financial market.
Methods: Our model combines investor behavior and market microstructure. To validate the model, we performed simulations under two scenarios. The first scenario integrates the two compartments of the model. The second scenario only examines the impact of the microstructure.
Results: Numerical simulations show that the model is robust to the facts observed in the Moroccan financial market.
Originality / Implications : This is the first model developed under the AMH approach which considers the specificity of emerging financial markets such as the Moroccan financial market. The model has important implications for both regulatory policies and the construction of investment strategies.
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