Papers
Topics
Authors
Recent
Gemini 2.5 Flash
Gemini 2.5 Flash
121 tokens/sec
GPT-4o
9 tokens/sec
Gemini 2.5 Pro Pro
47 tokens/sec
o3 Pro
4 tokens/sec
GPT-4.1 Pro
38 tokens/sec
DeepSeek R1 via Azure Pro
28 tokens/sec
2000 character limit reached

Heterogeneous wealth distribution, round-trip trading and the emergence of volatility clustering in Speculation Game (1909.03185v1)

Published 7 Sep 2019 in q-fin.ST

Abstract: This study is a detailed analysis of Speculation Game, a minimal agent-based model of financial markets, in which the round-trip trading and the dynamic wealth evolution with variable trading volumes are implemented. Instead of herding behavior, we find that the emergence of volatility clustering can be induced by the heterogeneous wealth distribution among traders. In particular, the spontaneous redistribution of market wealth through repetitions of round-trip trades can widen the wealth disparity and establish the Pareto distribution of the capital size. In the meantime, large fluctuations in price return are brought on by the intermittent placements of the relatively big orders from rich traders. Empirical data are used to support the scenario derived from the model.

Summary

We haven't generated a summary for this paper yet.