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VOLATILITY CLUSTERING USING A HETEROGENEOUS AGENT-BASED MODEL

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.

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:lnu-24587
Date January 2011
CreatorsARREY-MBI, PASCAL EBOT
PublisherLinnéuniversitetet, Institutionen för datavetenskap, fysik och matematik, DFM
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, info:eu-repo/semantics/bachelorThesis, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess

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