  A model of fluctuations in the market price including many deterministic
dealers, who predict their buying and selling prices from the latest price
change, is developed. We show that price changes of the model is approximated
by ARCH(1) process. We conclude that predictions of dealers affected by the
past price changes cause the fat tails of probability density function. We
believe that this study bridges stochastic processes in econometrics with
multi-agent simulation approaches.
