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  • Reiner Franke (2) (remove)

Keywords

  • Capital-Asset-Pricing Modell ; Mehragentensystem ; Volabilität ; Online-Publikation (1)
  • Structural stochastic volatility; method of simulated moments; autocorrelation pattern; fat tails; bootstrapped p-values (1)

Institute

  • Lehrstuhl für Volkswirtschaftslehre, insbesondere Wirtschaftspolitik (2)
  • Lehrstuhl für Volkswirtschaftslehre, insbesondere Finanzwissenschaft (1)

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88
Agent-based models for economic policy design : two illustrative examples (2012)
Frank H. Westerhoff Reiner Franke
83
Show/Hide Abstract Why a Simple Herding Model May Generate the Stylized Facts of Daily Returns: Explanation and Estimation (2012)
Reiner Franke Frank Westerhoff
The paper proposes an elementary agent-based asset pricing model that, invoking the two trader types of fundamentalists and chartists, comprises four features: (i) price determination by excess demand; (ii) a herding mechanism that gives rise to a macroscopic adjustment equation for the market fractions of the two groups; (iii) a rush towards fundamentalism when the price misalignment becomes too large; and (iv) a stronger noise component in the demand per chartist trader than in the demand per fundamentalist trader, which implies a structural stochastic volatility in the returns. Combining analytical and numerical methods, the interaction between these elements is studied in the phase plane of the price and a majority index. In addition, the model is estimated by the method of simulated moments, where the choice of the moments reflects the basic stylized facts of the daily returns of a stock market index. A (parametric) bootstrap procedure serves to set up an econometric test to evaluate the model’s goodness-of-fit, which proves to be highly satisfactory. The bootstrap also makes sure that the estimated structural parameters are well identified.

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