Digital Library

of the European Council for Modelling and Simulation



A Behavioral Model Of Simultaneous Extreme Returns


Zsolt Tulassay

Published in:


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


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



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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