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Herding behavior and volatility clustering in financial markets

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  • Schmitt, Noemi
  • Westerhoff, Frank

Abstract

We propose a simple agent-based financial market model in which speculators follow a linear mix of technical and fundamental trading rules to determine their orders. Volatility clustering arises in our model due to speculators' herding behavior. In case of heightened uncertainty, speculators observe other speculators' actions more closely. Since speculators' trading behavior then becomes less heterogeneous, the market maker faces a less balanced excess demand and consequently adjusts prices more strongly. Estimating our model using the method of simulated moments reveals that it is able to explain a number of stylized facts of financial markets quite well. Keywords: Agent-based financial market models, stylized facts of financial markets, technical and fundamental analysis, heterogeneity, herding behavior, method of simulated moments.

Suggested Citation

  • Schmitt, Noemi & Westerhoff, Frank, 2016. "Herding behavior and volatility clustering in financial markets," BERG Working Paper Series 107, Bamberg University, Bamberg Economic Research Group.
    • Handle: RePEc:zbw:bamber:107
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    Keywords

    agent-based financial market models; stylized facts of financial markets; technical and fundamental analysis; heterogeneity; herding behavior; method of simulated moments.;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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