Agent-based model with heterogeneous fundamental prices
In this paper, we investigate the properties of the return time series generated by a multi-agent-based model for financial markets. Our model is a variant of the grand canonical minority game model where the agents behave as producers and a fraction of them is allowed to shift their strategy in order to act opportunistically as fundamentalists. Our model assumes the existence of speculators with heterogeneous beliefs about the fundamental price. Our simulation results are robust to reproduce stylized facts as volatility clustering, fat tail, uncorrelated return and slowing decay on the absolute return.
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Volume (Year): 357 (2005)
Issue (Month): 3 ()
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- Johnson, Neil F. & Jefferies, Paul & Hui, Pak Ming, 2003. "Financial Market Complexity," OUP Catalogue, Oxford University Press, number 9780198526650.