  We present a simple model of a stock market where a random communication
structure between agents gives rise to a heavy tails in the distribution of
stock price variations in the form of an exponentially truncated power-law,
similar to distributions observed in recent empirical studies of high frequency
market data. Our model provides a link between two well-known market phenomena:
the heavy tails observed in the distribution of stock market returns on one
hand and 'herding' behavior in financial markets on the other hand. In
particular, our study suggests a relation between the excess kurtosis observed
in asset returns, the market order flow and the tendency of market participants
to imitate each other.
