Market Dynamics and Stock Price Volatility
AbstractThis paper presents a possible explanation for some of the empirical properties of asset returns within a heterogeneous-agents framework. The model turns out, even if we assume the input fundamental value follows a simple Gaussian distribution lacking both fat tails and volatility dependence, these features can show up in the time series of asset returns. In this mode, the profit comparison and switching between heterogeneous agents play key roles through a focus on moving averages. This builds a connection between endogenous market performance and the emergence of stylized facts
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2004 with number 91.
Date of creation: 11 Aug 2004
Date of revision:
financial markets; econophysics; computational methods in statistica physics;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
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- Biondi, Yuri & Giannoccolo, Pierpaolo & Galam, Serge, 2012. "Formation of share market prices under heterogeneous beliefs and common knowledge," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5532-5545.
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