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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.
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Herding behavior and volatility clustering in financial markets, Noemi Schmitt
- Sprache
- Erscheinungsdatum
- 2016
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- Titel
- Herding behavior and volatility clustering in financial markets
- Sprache
- Englisch
- Autor*innen
- Noemi Schmitt
- Erscheinungsdatum
- 2016
- ISBN10
- 3943153266
- ISBN13
- 9783943153262
- Kategorie
- Wirtschaft
- Beschreibung
- 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.