2024-03-29T05:34:41Zhttps://repositori.uji.es/oai/requestoai:repositori.uji.es:10234/733872022-09-30T10:20:11Zcom_10234_8643com_10234_9col_10234_8644
Repositori UJI
author
Alfarano, Simone
author
Lux, Thomas
author
Wagner, Friedrich
2013-10-01T07:32:05Z
2013-10-01T07:32:05Z
2008-01
Journal of Economic Dynamics and Control, 32, 1, p. 101-136
0165-1889
http://hdl.handle.net/10234/73387
http://dx.doi.org/10.1016/j.jedc.2006.12.014
A growing body of recent literature allows for heterogenous trading strategies and limited rationality of agents in behavioral models of financial markets. More and more, this literature has been concerned with the explanation of some of the stylized facts of financial markets. It now seems that some previously mysterious time series characteristics like fat tails of returns and temporal dependence of volatility can be observed in many of these models as macroscopic patterns resulting from the interaction among different groups of speculative traders. However, most of the available evidence stems from simulation studies of relatively complicated models which do not allow for analytical solutions. In this paper, this line of research is supplemented by analytical solutions of a simple variant of the seminal herding model introduced by Kirman [1993, Ants, rationality, and recruitment. Quarterly Journal of Economics 108, 137–156]. Embedding the herding framework into a simple equilibrium asset pricing model, we are able to derive closed-form solutions for the time-variation of higher moments as well as related quantities of interest enabling us to spell out under what circumstances the model gives rise to realistic behavior of the resulting time series.
eng
Copyright 2007 Elsevier B.V. All rights reserved.
Noise traders
Speculation
Heteroskedasticity
Local and non-local interactions
Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach
info:eu-repo/semantics/article
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