MONTE CARLO SIMULATION OF VOLATILITY CLUSTERING IN MARKET MODEL WITH HERDING-Reference-Cited by-同舟云学术

MONTE CARLO SIMULATION OF VOLATILITY CLUSTERING IN MARKET MODEL WITH HERDING

Published:1999-01 Issue:01 Volume:02 Page:83-94
ISSN:0219-0249
Container-title:International Journal of Theoretical and Applied Finance
language:en
Short-container-title:Int. J. Theor. Appl. Finan.

Author:

STAUFFER DIETRICH¹,DE OLIVEIRA PAULO M. C.¹,BERNARDES AMERICO T.¹

Affiliation:

1. Laboratoire PMMH, ESPCI, 10 rue Vauquelin, F-75231 Paris Cedex 05, France

Abstract

Through slow changes in the position of the traders, we introduce correlations between the volatility (root mean square change) of the prices at different times. We find this volatility correlation to decay slowly with time, as also observed in reality, and quite independent of the dimensionality of the lattice. We also make the trading activity of a cluster of traders proportional to the cluster size.

Publisher

World Scientific Pub Co Pte Lt

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219024999000066

Reference5 articles.

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