Speculative bubbles and fat tail phenomena in a heterogeneous agent model

Taisei Kaizoji ()

Quantitative Finance Papers from arXiv.org

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.

Date: 2003-12
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Published in W. Barnett, et.al., Economic Complexity, ISETE vol.14, Chapter 10 (2003) 259-275, Elsevier, Amsterdam

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Persistent link: http://EconPapers.repec.org/RePEc:arx:papers:nlin/0312040

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