Market Dynamics and Stock Price Volatility

J. Barkley Rosser and Honggang Li

No 91, Computing in Economics and Finance 2004 from Society for Computational Economics

Abstract: This paper presents a possible explanation for some of the empirical properties of asset returns within a heterogeneous-agents framework. The model turns out, even if we assume the input fundamental value follows a simple Gaussian distribution lacking both fat tails and volatility dependence, these features can show up in the time series of asset returns. In this mode, the profit comparison and switching between heterogeneous agents play key roles through a focus on moving averages. This builds a connection between endogenous market performance and the emergence of stylized facts

Keywords: financial markets; econophysics; computational methods in statistica physics (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2004-08-11
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf4:91

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