Agent-based model with heterogeneous fundamental prices

Fernando F. Ferreira, Viviane M. de Oliveira, Antônio F. Crepaldi and Paulo R.A. Campos

Physica A: Statistical Mechanics and its Applications, 2005, vol. 357, issue 3, 534-542

Abstract: 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.

Keywords: Grand canonical minority game; Stylized facts; Heterogeneity in fundamental prices (search for similar items in EconPapers)
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437105003638
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:357:y:2005:i:3:p:534-542

DOI: 10.1016/j.physa.2005.03.048

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().