QIU, G.; KANDHAI, D.; JOHNSON, N. F.; SLOOT, P. M. A. - In: Advances in Complex Systems (ACS) 15 (2012) 07, pp. 1250050-1
The origin of the volatility smile phenomenon observed in options markets has eluded the financial world for more than two decades. We provide a new explanation of this phenomenon using a microscopic multi-agent description of markets. In our model individual trading behavior is explicitly...