Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/88115
Authors: 
Schmitt, Noemi
Westerhoff, Frank
Year of Publication: 
2013
Series/Report no.: 
BERG Working Paper Series 90
Abstract: 
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.
Subjects: 
stock markets
stylized facts
technical and fundamental analysis
agent-based modeling
bounded rationality
simulation analysis
JEL: 
C63
D84
G12
ISBN: 
978-3-943153-05-7
Document Type: 
Working Paper

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