Speculative bubbles and fat tail phenomena in a heterogeneous agent model
Chaotic Dynamics
2013-09-11 v1 Adaptation and Self-Organizing Systems
Trading and Market Microstructure
Abstract
The aim of this paper is to propose a heterogeneous agent model of stock markets that develop complicated endogenous price fluctuations. We find occurrences of non-stationary chaos, or speculative bubble, are caused by the heterogeneity of traders' strategies. Furthermore, we show that the distributions of returns generated from the heterogeneous agent model have fat tails, a remarkable stylized fact observed in almost all financial markets.
Keywords
Cite
@article{arxiv.nlin/0312040,
title = {Speculative bubbles and fat tail phenomena in a heterogeneous agent model},
author = {Taisei Kaizoji},
journal= {arXiv preprint arXiv:nlin/0312040},
year = {2013}
}
Comments
22 pages, 5 figures