A behavioral model of simultaneous extreme returns

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

A multivariate stylized fact of financial markets is the frequent occurrence of simultaneous extreme returns. A simple agent-based behavioral model is presented that accounts for this phenomenon. Joint extremes are generated by heterogeneous fundamentalist traders whose perceptions of the effect of a common news factor on asset values become aligned during market stress. Simulation results are compared to an empirical investigation of two major Hungarian stocks.

Original languageEnglish
Title of host publicationProceedings - 22nd European Conference on Modelling and Simulation, ECMS 2008
PublisherEuropean Council for Modelling and Simulation
Pages351-356
Number of pages6
ISBN (Print)0955301858, 9780955301858
DOIs
Publication statusPublished - 2008
Externally publishedYes
Event22nd European Conference on Modelling and Simulation, ECMS 2008 - Nicosia, Cyprus
Duration: Jun 3 2008Jun 6 2008

Publication series

NameProceedings - 22nd European Conference on Modelling and Simulation, ECMS 2008

Other

Other22nd European Conference on Modelling and Simulation, ECMS 2008
CountryCyprus
CityNicosia
Period6/3/086/6/08

Keywords

  • Heterogeneous-agent models
  • Simultaneous extreme returns
  • Tail dependence

ASJC Scopus subject areas

  • Modelling and Simulation

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  • Cite this

    Tulassay, Z. (2008). A behavioral model of simultaneous extreme returns. In Proceedings - 22nd European Conference on Modelling and Simulation, ECMS 2008 (pp. 351-356). (Proceedings - 22nd European Conference on Modelling and Simulation, ECMS 2008). European Council for Modelling and Simulation. https://doi.org/10.7148/2008-0351