A Behavioral Model of Simultaneous Extreme Returns
نویسنده
چکیده
A multivariate stylized fact of financial markets is the frequent occurrence of simultaneous extreme returns. A simple agent-based behavioral model is presented that accounts for this phenomenon. Joint extremes are generated by heterogeneous fundamentalist traders whose perceptions of the effect of a common news factor on asset values become aligned during market stress. Simulation results are compared to an empirical investigation of two major Hungarian stocks.
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