Market entry waves and volatility outbursts in stock markets

Arbeitspapier

We develop a simple agent-based financial market model in which speculators' market entry decisions are subject to herding behavior and market risk. Moreover, speculators' orders depend on price trends, market misalignments and fundamental news. Using a mix of analytical and numerical tools, we show that a herding-induced market entry wave may amplify excess demand, triggering lasting volatility outbursts. Eventually, however, higher stock market risk reduces stock market participation and volatility decreases again. Simulations furthermore reveal that our approach is also able to produce bubbles and crashes, excess volatility, fat-tailed return distributions and serially uncorrelated price changes.

Angaben zum Objekt

• ISBN: 978-3-943153-48-4
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: BERG Working Paper Series ; No. 128

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Computational Techniques; Simulation Modeling ; Expectations; Speculations ; International Financial Markets
• Thema: stock markets ; heterogeneous speculators ; exponential replicator dynamics ; herding behavior ; stylized facts

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Blaurock, Ivonne ; Schmitt, Noemi ; Westerhoff, Frank
• Ereignis: Veröffentlichung
• (wer): Bamberg University, Bamberg Economic Research Group (BERG)
• (wo): Bamberg
• (wann): 2017

Weitere Informationen

• Handle: http://hdl.handle.net/10419/167674
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ