Stylized facts from a threshold-based heterogeneous agent model

Stylized facts from a threshold-based heterogeneous agent model

A class of heterogeneous agent models is investigated where investors switch trading position whenever their motivation to do so exceeds some critical threshold. These motivations can be psychological in nature or reflect behaviour suggested by the efficient market hypothesis (EMH). By introducing different propensities into a baseline model that displays EMH behaviour, one can attempt to isola...

Agent-based Financial Markets: Matching Stylized Facts With Style

Empirical facts from financial data pose some of the most difficult puzzles for equilibrium macroeconomic modeling. Features such as volatility, excess kurtosis, and conditional heteroscedasticity are not easily replicated by any single representative agent model. Most agent-based financial markets are able to match a good subset of these features quite easily. This paper will summarize some of...

A Minimal Model of Financial Stylized Facts

Minimal Agent Based Model for Financial Markets I: Origin and Self-Organization of Stylized Facts

We introduce a minimal Agent Based Model for financial markets to understand the nature and Self-Organization of the Stylized Facts. The model is minimal in the sense that we try to identify the essential ingredients to reproduce the main most important deviations of price time series from a Random Walk behavior. We focus on four essential ingredients: fundamentalist agents which tend to stabil...

Reproducing stylized facts of word-of-mouth with a naturalistic multi-agent model

Word-of-mouth is the interpersonal process by which information about an innovation diffuses in a social system. Little empirical data is available from the field. Nevertheless, several stylized facts are identified and widely accepted. For instance, consumers actively search for information. It is also known that knowledge about incremental innovations diffuses quicker, because part of the kno...