کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5098512 1478700 2014 62 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Speculative behavior and the dynamics of interacting stock markets
ترجمه فارسی عنوان
رفتار پویا و پویایی تعاملات بازار سهام
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات کنترل و بهینه سازی
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 45, August 2014, Pages 262-288
نویسندگان
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