دانلود رایگان مقاله انگلیسی امواج ورودی بازار و ظهور نوسانات در بازار سهام - الزویر 2018

abstract

We develop a simple agent-based financial market model in which speculators’ market entry decisions are subject to herding behavior and market risk. In addition, speculators’ orders depend on price trends, market misalignments and fundamental news. Using a mix of analytical and numerical tools, we show that a herding-induced market entry wave may amplify excess demand, triggering lasting volatility outbursts. Eventually, however, higher stock market risk reduces stock market participation and volatility decreases again. Simulations furthermore reveal that our approach is also able to produce bubbles and crashes, excess volatility, fat-tailed return distributions and serially uncorrelated price changes. Moreover, trading volume is persistent and correlated with volatility.

5. Conclusions

We develop an agent-based financial market model with heterogeneous interacting speculators to explain a number of important statistical regularities of stock markets. Speculators base their orders on current price trends, the market’s mispricing and new information. Speculators are heterogeneous in the sense that each of them follows his own time-varying trading rule. However, not all speculators are always active in the stock market. Two socio-economic principles govern speculators’ probabilistic market entry decisions. First, speculators’ market entry decisions are subject to herding behavior. The more speculators are active in the stock market, the more attractive the stock market appears to them. Second, speculators’ market entry decisions depend on stock market risk. The higher the stock market risk, measured by the past volatility of the stock market, the less attractive the stock market appears to them. All orders placed by speculators are matched by a market maker who adjusts stock prices with respect to excess demand. The only extrinsic forces in our model are exogenous shocks which drive the random evolution of the fundamental value. We use a mix of analytical, numerical and empirical tools to investigate our model. Our main result is that sporadic market entry waves may cause volatility outbursts in stock markets. To be precise, we show that a herding-induced inflow of speculators leads to rather unstable market dynamics with high volatility while a consecutive risk-driven outflow of speculators leads to more stable market dynamics with low volatility. This kind of volatility clustering is observed in the deterministic skeleton of our model, for which we provide a full steady-state and stability analysis, and in the stochastic version of our model, which we calibrate to the stylized facts of stock markets.