Cover Image

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.
Year of publication:
2003-12
Authors: Kaizoji, Taisei
Institutions: arXiv.org
freely available
Full text |
Check Google Scholar
In German libraries (KVK)
I need help
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Language: English
Notes:
Published in W. Barnett, et.al., Economic Complexity, ISETE vol.14, Chapter 10 (2003) 259-275, Elsevier, Amsterdam
Source:
Persistent link: https://www.econbiz.de/10005083808
Similar items by person