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Speculative bubbles and fat tail phenomena in a heterogeneous agent model

Taisei Kaizoji
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Abstract

The aim of this paper is to propose a heterogeneous agent model of stock markets that develop complicated endogenous price fluctuations. We find occurrences of non-stationary chaos, or speculative bubble, are caused by the heterogeneity of traders' strategies. Furthermore, we show that the distributions of returns generated from the heterogeneous agent model have fat tails, a remarkable stylized fact observed in almost all financial markets.

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Taisei Kaizoji. 2003-12-19. Speculative bubbles and fat tail phenomena in a heterogeneous agent model. https://arxiv.org/abs/nlin/0312040

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