Arbeitspapier
Speculative behavior and the dynamics of interacting stock markets
We develop a simple agent-based financial market model in which heterogeneous speculators apply technical and fundamental analysis to trade in two different stock markets. Speculators' strategy/market selections are repeated at each time step and depend on predisposition effects, herding behavior and market circumstances. Simulations reveal that our model is able to explain a number of nontrivial statistical properties of and between international stock markets, including bubbles and crashes, fat-tailed return distributions, volatility clustering, persistent trading volume, coevolving stock prices and cross-correlated volatilities. Against this background, our model may be deemed to have been validated.
- ISBN
-
978-3-943153-05-7
- Sprache
-
Englisch
- Erschienen in
-
Series: BERG Working Paper Series ; No. 90
- Klassifikation
-
Wirtschaft
Computational Techniques; Simulation Modeling
Expectations; Speculations
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
stock markets
stylized facts
technical and fundamental analysis
agent-based modeling
bounded rationality
simulation analysis
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Schmitt, Noemi
Westerhoff, Frank
- Ereignis
-
Veröffentlichung
- (wer)
-
Bamberg University, Bamberg Economic Research Group (BERG)
- (wo)
-
Bamberg
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Schmitt, Noemi
- Westerhoff, Frank
- Bamberg University, Bamberg Economic Research Group (BERG)
Entstanden
- 2013
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