Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/129615
Authors: 
Schmitt, Noemi
Westerhoff, Frank
Year of Publication: 
2016
Series/Report no.: 
BERG Working Paper Series 107
Abstract: 
We propose a simple agent-based financial market model in which speculators follow a linear mix of technical and fundamental trading rules to determine their orders. Volatility clustering arises in our model due to speculators' herding behavior. In case of heightened uncertainty, speculators observe other speculators' actions more closely. Since speculators' trading behavior then becomes less heterogeneous, the market maker faces a less balanced excess demand and consequently adjusts prices more strongly. Estimating our model using the method of simulated moments reveals that it is able to explain a number of stylized facts of financial markets quite well. Keywords: Agent-based financial market models, stylized facts of financial markets, technical and fundamental analysis, heterogeneity, herding behavior, method of simulated moments.
JEL: 
C63
D84
G15
ISBN: 
978-3-943153-26-2
Document Type: 
Working Paper

Files in This Item:
File
Size
966.19 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.