Essays on the emergence of endogenous financial fluctuations

The present Thesis investigates the root causes and the complex mechanisms underlying the emergence of fluctuations in stock markets' dynamics, with a special focus on those that originate from within the market, i.e.endogenously, as opposed to those arising as (possibly exaggerated) response to external, freshly available fundamental news. It consists of three independent and self-contained contributions, in the sense that none of them builds upon the others, each employing a very different scientific methodology but all attributable to the umbrella term `complexity economics'. The first proposes a heterogeneous agent model of a stock market in which a risky asset and a bond are exchanged and demand on behalf of a group of traders is subject to random shocks. The second develops a parsimonious agent-based model of a stock market in which a large population of high-frequency traders exchange a long-lived security. The third empirically investigate large databases of intra-day volatility trajectories from two major stock markets indices, the S&P500 and the EURONEXT100, along the lines of functional principal component analysis.