VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS

DOI10.1142/S0219024900000826zbMath0967.91072MaRDI QIDQ4528083

Michele Marchesi, Thomas C. H. Lux

Publication date: 2000

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

on-off intermittencyARCH effectsclustered volatilitysimulated time series

Mathematics Subject Classification ID

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Cites Work

• Stability with regime switching
• From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
• Time variation of second moments from a noise trader/infection model
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• A Rational Route to Randomness
• The Economics of Rumours

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