Speculative dynamics in a heterogeneous-agent model

Abstract

This paper proposes a model of a stock market which is composed of three different types of traders: fundamentalists, chartists, and noise traders. We investigate the speculative price dynamics though the simulation, andsho w that a non-stationary chaos that is considered as speculative bubble is causedb y the heterogeneity of traders’ strategies, andfurthermore that the distributions of stock returns generatedfrom our heterogeneous agent model have the fat tails which is a stylized fact observedin almost all the financial markets.