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Digital Library of the
European Council for Modelling and Simulation |
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Title: |
A
Behavioral Model Of Simultaneous Extreme Returns |
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Authors: |
Zsolt Tulassay |
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Published in:
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ECMS
2008 Proceedings Edited
by: Loucas S. Louca, Yiorgos Chrysanthou, Zuzana Oplatkova, Khalid Al-Begain ISBN:
978-0-9553018-6-5 Doi: 10.7148/2008 22nd
European Conference on Modelling and Simulation, Nicosia, June
3-6, 2008 |
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Citation
format: |
Tulassay, Z. (2008). A Behavioral Model Of
Simultaneous Extreme Returns. ECMS 2008 Proceedings edited by: L. S. Louca, Y. Chrysanthou, Z. Oplatkova, K. Al-Begain
(pp. 351-356). European Council for Modeling and Simulation. doi:10.7148/2008-0351 |
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DOI: |
http://dx.doi.org/10.7148/2008-0351 |
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Abstract: |
A
multivariate stylized fact of financial markets is the frequent occurrence of
simultaneous extreme returns. A simple agent-based behavioral model is
presented that accounts for this phenomenon. Joint extremes are gener- ated by heterogeneous
fundamentalist traders whose per- ceptions of the
effect of a common news factor on asset values become aligned during market
stress. Simulation results are compared to an empirical investigation of two
major Hungarian stocks. |
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