In this paper, an artificial stock market characterized by heterogeneous and informed
agents is presented. The heterogeneous agents are seen as nodes of sparsely connected
graphs. The agents trade risky assets and are characterized by sentiments, amount of cash
and stocks owned. Agents share information and sentiments by means of interactions
determined by graphs. A central market maker (clearing house mechanism) determines
the price processes for each stock at the intersection of the demand and supply curves.
In this framework, the statistical properties of the univariate and multivariate process
of prices and returns are studied. Importantly, concerning univariate price processes, the
proposed model is able to reproduce unit root, volatility cluster and fat tails of returns. The
multivariate price process exhibits both static and dynamic stylized facts, in particular the
presence of static factors and common trends. Static factors are studied making reference to
the cross-correlation between returns of different stocks, whereas the common trends are
investigated considering the variance–covariance matrix of prices. The proposed approach
allows to endogenously reproduce the multivariate stylized facts.
