Speculative dynamics in a heterogeneous-agent model

This paper proposes a model of a stock market which is composed of three different types of traders: fundamentalists, chartists, and noise traders. We investigate the speculative price dynamics though the simulation, and show that a non-stationary chaos that is considered as speculative bubble is caused by the heterogeneity of traders' strategies, and furthermore that the distributions of stock returns generated from our heterogeneous agent model have the fat tails which is a stylized fact observed in almost all the financial markets.