.28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price …

period ahead; in the Volatility treatment, we also elicit subjective confidence intervals of forecasts, which we take as a … measure of perceived volatility. The realized asset price is derived from a Walrasian market equilibrium equation with non …-linear feedback from individual forecasts. Our experimental markets exhibit high volatility, fat tails and other properties typical of …

price volatility in agricultural markets to rise. Rather, fundamental factors are made responsible for this. Therefore, most …

volatility in agricultural markets to rise. Rather, fundamental factors are responsible for this. Therefore, most papers are not …

Market Hypothesis sense. The paper tries to show that this so-called excess volatility is to a large extend the result of the …, constant dividend growth rates as well as non-variable discount rates. It is shown that indeed volatility declines considerably …

Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model … is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior …

intensity leads to both higher trading volume and higher volatility in both orderbook treatments. The comparison shows that they … only differ in price volatility which is higher with an open orderbook. The market results mentioned above are confirmed by …

. Announcements of both institutes are also clearly and immediately reflected in the volatility, which remains at a significantly … higher level for approximately two minutes slightly elevated for approximately 15 minutes. Combining returns and volatility … in a GARCH(1,1)-model, the paper reveals that significant increases in volatility only show up in the presence of …