F. Cecconi and S. Zappacosta (Italy)
Agent based simulation, Financial market modeling, Econophysics, GARCH Model.
In ﬁnancial modeling, the return from dividends over the
long term has been a signiﬁcant contributor to the total re
turns produced by equity securities . There is an
abundance of empirical evidence which suggests that port
folios consisting of higher dividend yielding securities pro
duce returns that are attractive with respect to lower yield
ing portfolios and to overall stock market returns over long
measurement periods. Nevertheless, the dynamic of returns
for equity securities with low (or no) dividend, over the
medium period, shows some intriguing features. Which
conditions lead to high returns? Which agent-based mi
cro model can be used to explain the macro dynamic of
We study the value of Alitalia’s stocks, in the period
from October the 22-nd 2002 to October the 22-nd 2007.
We use an agent-based model, based on chartist and funda
mentalists behavior. We could sketch the results into two
1. For low proﬁtability ﬁrms (low or no dividends) we
found distinctive variations in autocorrelations func
tions of returns just before growth of returns.
2. We use a novel qualiﬁcation for returns, the return’s
closeness, to explain these variations on the whole the
performance of returns.