Agent-Based Stock Market Model with Endogenous Agents ’ Impact

The three-state agent-based 2D model of financial markets as proposed by Giulia Iori has been extended by introducing an increased trust in the correctly predicting agents, a more realistic consultation procedure as well as a formal val-idation mechanism. This paper shows that such a model correctly reproduces the three fundamental stylised facts: fat-tail log returns, power-law volatility autocor-relation decay over time and volatility clustering.