Speculative behavior and the dynamics of interacting stock markets von Noemi Schmitt | ISBN 9783943153057

Speculative behavior and the dynamics of interacting stock markets

von Noemi Schmitt und Frank Westerhoff
Mitwirkende
Autor / AutorinNoemi Schmitt
Autor / AutorinFrank Westerhoff
Buchcover Speculative behavior and the dynamics of interacting stock markets | Noemi Schmitt | EAN 9783943153057 | ISBN 3-943153-05-3 | ISBN 978-3-943153-05-7

Speculative behavior and the dynamics of interacting stock markets

von Noemi Schmitt und Frank Westerhoff
Mitwirkende
Autor / AutorinNoemi Schmitt
Autor / AutorinFrank Westerhoff
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.