We develop a model in which boundedly rational agents apply technical and fundamental analysis to identify trading signals in two different speculative markets. Whether an agent trades and, if so, in which market with which strategy depends on profit considerations. As it turns out, an ongoing...

We argue that two main ingredients in agent-based models (and in real speculative markets) which lead to realistic behavior of prices and trading volume are : heterogeneity (given the same source of information, market participants do not behave identically) and feedback (the individual demand...

Option pricing model with non-constant volatility models are compared to stochastic volatility ones. The non-constant volatility models considered are the Dupire's local volatility and Hobson and Rogers path-dependent volatility models. These approaches have the theoretical advantage of...

In this paper we investigate the sources of the important shifts in the volatility of U.S. macroeconomic variables in the postwar period. To this end, we propose the estimation of DSGE models allowing for time variation in the volatility of the structural innovations. We apply our estimation...

Using an unified framework, we integrate the two major Monte Carlo techniques currently available: Efficient Importance Sampling (EIS) and Markov Chain Monte Carlo (MCMC). We do so for two reasons. First, the two methods complement one another. Loosely, EIS is effective for integrating...

Stochastic-variance models are important in describing and forecasting time-varying volatilities of financial time series. The introduction of jump components, in both the returns and the volatility process, improves the fit to the data. The goal of this paper is to examine the effectiveness of...

The estimation of the memory parameter in perturbed long memory series has recently attracted attention motivated especially by the strong persistence of the volatility in many financial and economic time series and the use of Long Memory in Stochastic Volatility (LMSV) processes to model such a...

Firm-level stock volatility has increased significantly since 1962 and varies widely across industries. Recent literature shows that the excessive and persistent stock volatility can be well explained by fundamental uncertainties. This paper conducted panel data analyses on 415 firms during...

Many derivatives prices and their Greeks are closed-form expressions in the Black-Scholes model; when the terminal distribution is a mixed lognormal, prices and Greeks for these derivatives are then a weighted average of these closed-form) expressions. They can therefore be calculated easily and...