Speculative bubbles and fat tail phenomena in a heterogeneous agent model
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.
|Date of creation:||Dec 2003|
|Date of revision:|
|Publication status:||Published in W. Barnett, et.al., Economic Complexity, ISETE vol.14, Chapter 10 (2003) 259-275, Elsevier, Amsterdam|
|Contact details of provider:|| Web page: http://arxiv.org/|
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