VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
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Publication:4528083
DOI10.1142/S0219024900000826zbMATH Open0967.91072MaRDI QIDQ4528083FDOQ4528083
Authors: Michele Marchesi, Thomas C. H. Lux 
Publication date: 2000
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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- Understanding the determinants of volatility clustering in terms of stationary Markovian processes
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- Simulation of a financial market: the possibility of catastrophic disequilibrium
- Volatility clustering in agent based market models
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- Investor sentiment and trading behavior
- Social contagion and the survival of diverse investment styles
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- Trader Behavior and its Effect on Asset Price Dynamics
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- Prices, debt and market structure in an agent-based model of the financial market
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- TECHNICAL ANALYSIS BASED ON PRICE-VOLUME SIGNALS AND THE POWER OF TRADING BREAKS
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- Tobin tax and market depth
- Behavioral heterogeneity in the option market
- Heterogeneity of agents, transactions costs and the exchange rate
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