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VOLATILITY CLUSTERING USING A HETEROGENEOUS AGENT-BASED MODEL
Linnaeus University, Faculty of Science and Engineering, School of Computer Science, Physics and Mathematics.
2011 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

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.

Place, publisher, year, edition, pages
2011. , p. 27
Keywords [en]
Volatility Clustering, Fundamentalists, Chartists, Switching.
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:lnu:diva-24587OAI: oai:DiVA.org:lnu-24587DiVA, id: diva2:608216
Uppsok
Physics, Chemistry, Mathematics
Examiners
Available from: 2013-02-27 Created: 2013-02-26 Last updated: 2016-02-22Bibliographically approved

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fulltext(487 kB)103 downloads
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CiteExportLink to record
Permanent link

Direct link
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf