Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/167674 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
BERG Working Paper Series No. 128
Verlag: 
Bamberg University, Bamberg Economic Research Group (BERG), Bamberg
Zusammenfassung: 
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.
Schlagwörter: 
stock markets
heterogeneous speculators
exponential replicator dynamics
herding behavior
stylized facts
JEL: 
C63
D84
G15
ISBN: 
978-3-943153-48-4
Dokumentart: 
Working Paper

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