Sökning: "Pascal Ebot Arrey-mbi"

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  1. 1. VOLATILITY CLUSTERING USING A HETEROGENEOUS AGENT-BASED MODEL

    Master-uppsats, Linnéuniversitetet/Institutionen för datavetenskap, fysik och matematik, DFM

    Författare :PASCAL EBOT ARREY-MBI; [2011]
    Nyckelord :Volatility Clustering; Fundamentalists; Chartists; Switching.;

    Sammanfattning : 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. LÄS MER