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This study is a detailed analysis of Speculation Game, a minimal agent-basedmodel of financial markets, in which the round-trip trading and the dynamicwealth evolution with variable trading volumes are implemented. Instead ofherding behavior, we find that the emergence of volatility clustering can beinduced by the heterogeneous wealth distribution among traders. In particular,the spontaneous redistribution of market wealth through repetitions ofround-trip trades can widen the wealth disparity and establish the Paretodistribution of the capital size. In the meantime, large fluctuations in pricereturn are brought on by the intermittent placements of the relatively bigorders from rich traders. Empirical data are used to support the scenarioderived from the model.

Heterogeneous wealth distribution, round-trip trading and the emergence of volatility clustering in Speculation Game