Franke, Reiner; Westerhoff, Frank - In: Journal of Economic Dynamics and Control 36 (2012) 8, pp. 1193-1211
In the framework of small-scale agent-based financial market models, the paper starts out from the concept of structural stochastic volatility, which derives from different noise levels in the demand of fundamentalists and chartists and the time-varying market shares of the two groups. It...
