There are two famous statistical laws, so-called stylized facts, in financial markets. One is fat tail where the tail of price returns obeys a power law. The other is volatility clustering in which the autocorrelation function of absolute price returns decays with a power law. In order to understand relationships between the stylized facts and dealers' behaviors, we constructed a new agent-based model based on the grand canonical minority game (GCMG) and the Giardina-Bouchaud (GB) model. The recovery of stylized facts by GCMG and GB lacks of robustness. Therefore, based on the GCMG and GB model, we develop a new model that can reproduce stylized facts robustly. Furthermore, we find that heterogeneity of learning speeds of agents is important to reproduce the stylized facts.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.