Volatility

This paper uses an agent based financial market calibrated to aggregate data. It shows how these markets are able to magnify the volatility of fundamentals, and to create time series with persistent volatility. The mechanism for this persistence is explored using several of the time series generated in the market simulation.

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Year of publication:	2001-04-01
Authors:	LeBaron, Blake
Institutions:	Society for Computational Economics - SCE
Subject:	agent

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Series:	Computing in Economics and Finance 2001.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Computing in Economics and Finance 2001 Number 108
Classification:	G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; D83 - Search, Learning, Information and Knowledge
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005537752