Why a simple herding model may generate the stylized facts of daily returns: explanation and estimation

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• 作者：Reiner Franke ; Frank Westerhoff
• 关键词：Structural stochastic volatility ; Method of simulated moments ; Autocorrelation pattern ; Fat tails ; Bootstrapped \(p\) ; values
• 刊名：Journal of Economic Interaction and Coordination
• 出版年：2016
• 出版时间：April 2016
• 年：2016
• 卷：11
• 期：1
• 页码：1-34
• 全文大小：1,745 KB
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• 作者单位：Reiner Franke (1)
  Frank Westerhoff (2)
  
  1. University of Kiel, Kiel, Germany
  2. University of Bamberg, Bamberg, Germany
  
• 刊物主题：Economic Theory; Game Theory/Mathematical Methods; Computer Appl. in Social and Behavioral Sciences; Theoretical, Mathematical and Computational Physics; Finance/Investment/Banking;
• 出版者：Springer Berlin Heidelberg
• ISSN：1860-7128

文摘

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.