Heterogeneous Round-Trip Trading and the Emergence of Volatility Clustering in Speculation Game

• 作者: KATAHIRA Kei CHEN Yu
• 来源期刊: 系统科学与复杂性学报（英文版）
• 年，卷（期）: 2022,（1）
• 页码范围: 221-244
• 页数: 24页
• 语种: 英文
• DOI: 10.1007/s11424-021-0147-8

摘要

This study is a detailed analysis of Speculation Game,a simple agent-based model of finan-cial markets,in which the round-trip trading and the dynamic wealth evolution with variable trading volumes are implemented.Instead of herding behavior,the authors find that the heterogeneous holding periods in round-trip trades can contribute to the emergence of volatility clustering.In particular,the spontaneous redistribution of market wealth through repetitions of round-trip trades with non-uniform horizons can widen the wealth disparity and establish the Pareto distribution of the capital size.As a result,the intermittent placements of relatively big orders from endogenously emerged rich traders can bring on large fluctuations in price return.Empirical data are used to support the scenario derived from the model.