Abstract
The aim of this paper is to present a simple simulation model which can generate price paths with heavy tails returns. The model consists of two agents represented by two excess demand functions and a normal stochastic perturbation. Depending of the value of the parameters, the model can generate a wide range of simulations, from a pure stochastic with normal distribution to a heavy tail process. The main achievement is the simplicity of the functional form and the parameter setting as to change simulations. In that sense it can be used as a complement to Monte Carlo simulation.
This work is supported by PICT 2011 N° 0919 of the National Agency of Scientific and Technological Promotion (Agencia Nacional de Promoción Científica y Tecnológica).
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Thomasz, E.O., Casparri, M.T. (2013). Stock Market Simulation: Heavy Tails through Normal Perturbation. In: Fernández-Izquierdo, M.Á., Muñoz-Torres, M.J., León, R. (eds) Modeling and Simulation in Engineering, Economics, and Management. MS 2013. Lecture Notes in Business Information Processing, vol 145. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-38279-6_12
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DOI: https://doi.org/10.1007/978-3-642-38279-6_12
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