Stylized facts from a threshold-based heterogeneous agent model

DOI10.1140/EPJB/E2007-00108-5zbMATH Open1189.91061arXivphysics/0607290OpenAlexW2159859228MaRDI QIDQ978829FDOQ978829

Authors: T. Seaman, Rod Cross, M. Grinfeld, Harbir Lamba 

Publication date: 25 June 2010

Published in: The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Abstract: A class of heterogeneous agent models is investigated where investors switch trading position whenever their motivation to do so exceeds some critical threshold. These motivations can be psychological in nature or reflect behaviour suggested by the efficient market hypothesis (EMH). By introducing different propensities into a baseline model that displays EMH behaviour, one can attempt to isolate their effects upon the market dynamics. The simulation results indicate that the introduction of a herding propensity results in excess kurtosis and power-law decay consistent with those observed in actual return distributions, but not in significant long-term volatility correlations. Possible alternatives for introducing such long-term volatility correlations are then identified and discussed.

Full work available at URL: https://arxiv.org/abs/physics/0607290

Recommendations

• scientific article
• A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY
• Volatility clustering in financial markets: empirical facts and agent-based models
• Emergent volatility in asset markets with heterogeneous agents.
• Estimation of agent-based models: The case of an asymmetric herding model

Mathematics Subject Classification ID

Economic time series analysis (91B84) Auctions, bargaining, bidding and selling, and other market models (91B26) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Heterogeneous agent models (91B69)

Cites Work

• Introduction to Econophysics
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• Iterated Random Functions
• Title not available (Why is that?)

Cited In (7)

• Hopf bifurcation in symmetric networks of coupled oscillators with hysteresis
• Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment
• A model of information flows and confirmatory bias in financial markets
• A discussion of Hong-Stein model
• Dynamics of discrete time systems with a hysteresis stop operator
• Robust mathematical formulation and probabilistic description of agent-based computational economic market models
• MARKET STATISTICS OF A PSYCHOLOGY-BASED HETEROGENEOUS AGENT MODEL

This page was built for publication: Stylized facts from a threshold-based heterogeneous agent model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q978829)