Volatility clustering is a stylized fact common in nance. Large changes in prices tend to cluster whereas small changes behave likewise. The higher the volatility of a market, the more risky it is said to be and vice versa . Below, we study volatility clustering using an agent-based model. This model looks at the reaction of agents as a result of the variation of asset prices. This is due to the irregular switching of agents between fundamentalist and chartist behaviors generating a time varying volatility. Switching depends on the performances of the various strategies. The expectations of the excess returns of the agents (fundamentalists and chartists) are heterogenous.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:lnu-24587 |
| Date | January 2011 |
| Creators | ARREY-MBI, PASCAL EBOT |
| Publisher | Linnéuniversitetet, Institutionen för datavetenskap, fysik och matematik, DFM |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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