Last time we have proposed the agent-based cobweb model. In certain case price time series of this model exhibit different volatility. So this time we will take a look at price change statistics in this model. As is common for our financial markets posts we will consider probability density functions and spectral density.
Not much theory behind this post. Using the app below you can freely explore statistics generated by the agent-based cobweb model. At least we were unable to find parameter sets with which the model would exhibit statistics similar to the stylized facts (1/f spectral density and power law probability density). But maybe you will find such parameter set.