Derivation of ARCH(1) process from market price changes based on deterministic microscopic multi-agent
Aki-Hiro Sato and Hideki Takayasu
| Year of publication: |
2002
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|---|---|
| Authors: | Sato, Aki-hiro ; Takayasu, Hideki |
| Published in: |
Empirical science of financial fluctuations : the advent of econophysics [proceedings of a workshop hosted by the Nihon Keizai Shimbun, Inc., and held in Tokyo, Nov. 15-17, 2000]. - New York : Springer, ISBN 4-431-70316-0. - 2002, p. 171-178
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| Subject: | Börsenkurs | Share price | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Simulation | ARCH-Modell | ARCH model | Theorie | Theory | Agentenbasierte Modellierung | Agent-based modeling |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Notes: | In: Empirical science of financial fluctuations |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001679482