Search Results - subject:"Volatility clustering"

Financial Market in the Laboratory

Morone, Andrea - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005345439

A minimal noise trader model with realistic time series

Alfarano, Simone; Lux, Thomas - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005170591

Nonlinear models for financial time series with multiple attraction regions

Borovkova, Svetlana - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005170594

A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions

Iori, Giulia - EconWPA - 2000

to price movements, creates a feedback mechanism on future trading and generates volatility clustering. The model also …

Persistent link: https://www.econbiz.de/10005413173

Time-varying risk in the German stock market

Scheicher, Martin - In: The European Journal of Finance 6 (2000) 1, pp. 70-91

This paper compares two specifications of the Capital Asset Pricing Model for a sample of German stocks. The specifications generate time-varying first and second moments by conditioning on past information. This explicit modelling of the time series behaviour of risk allows us to characterize...

Persistent link: https://www.econbiz.de/10005471966

Physics of fashion fluctuations

Donangelo, R.; Hansen, A.; Sneppen, K.; Souza, S.R. - In: Physica A: Statistical Mechanics and its Applications 287 (2000) 3, pp. 539-545

We consider a market where many agents trade different types of products with each other. We model development of collective modes in this market, and quantify these by fluctuations that scale with time with a Hurst exponent of about 0.7. We demonstrate that individual products in the model...

Persistent link: https://www.econbiz.de/10010591191

A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions.

Iori, Giulia - EconWPA - 1999

introduced which, by responding to price movements, creates a feedback mechanism on future trading and generates volatility … clustering. …

Persistent link: https://www.econbiz.de/10005413145

Volatility Clustering and Volatility Transmission: A Non-Parametric View of ERM Exchange Rates

Artis, Michael J; Zhang, Wenda - C.E.P.R. Discussion Papers - 1997

This paper considers the evidence for volatility clustering and transmission in six bilateral Deutsche mark ERM … given by the two distributions, each observation is classified to one or other category. The phenomenon of volatility … clustering in a given bilateral exchange rate series is then studied by means of a non-parametric test, while volatility …

Persistent link: https://www.econbiz.de/10005792273

Volatility Clustering in Financial Markets: A Micro-Simulation of Interacting Agents

Lux, T.; Marchesi, M. - University of Bonn, Germany

The finding of clustered volatility and ARCH effects is ubiquitous in financial data. This paper presents a possible explanation of this phenomenon within a multi-agent framework of speculative activity. In the model, both chartist and fundamentalist strategies are considered with agents...

Persistent link: https://www.econbiz.de/10004968303