VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS

DOI10.1142/S0219024900000826MaRDI QIDQ4528083zbMATH OpenFDO

Authors Michele Marchesi, Thomas C. H. Lux

Publication date 2000

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

Full work available at URL https://doi.org/10.1142/S0219024900000826

zbMATH Keywords

ARCH effectsclustered volatilityon-off intermittencysimulated time series

Mathematics Subject Classification ID

Clustering in the social and behavioral sciences (91C20)

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Cited in

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• Fat tails and volatility clustering in experimental asset markets
• Estimation of agent-based models: The case of an asymmetric herding model
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• Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence
• Linking market interaction intensity of 3D Ising type financial model with market volatility
• Understanding the determinants of volatility clustering in terms of stationary Markovian processes
• Ising model of financial markets with many assets
• Stochastic model of financial markets reproducing scaling and memory in volatility return intervals
• Impact of value-at-risk models on market stability
• Direct comparison of agent-based models of herding in financial markets
• Agent-based model calibration using machine learning surrogates
• Cognitive ability and earnings performance: evidence from double auction market experiments
• A calibration procedure for analyzing stock price dynamics in an agent-based framework
• Investments in random environments
• Between complexity of modelling and modelling of complexity: an essay on econophysics
• A generalized ARFIMA model with smooth transition fractional integration parameter
• An algorithmic look at financial volatility
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• Price drops, fluctuations, and correlation in a multi-agent model of stock markets
• Critical market crashes
• Volatility clustering in agent based market models
• Correlations and response: absence of detailed balance on the stock market
• Kinetic models for the trading of goods
• Crises and collective socio-economic phenomena: simple models and challenges
• Heterogeneous beliefs and the non-linear cobweb model
• Prices, debt and market structure in an agent-based model of the financial market
• Strategy switching in the Japanese stock market
• Speculative behavior and the dynamics of interacting stock markets
• Permutation entropy analysis of financial time series based on Hill's diversity number
• Pricing power exchange options with Hawkes jump diffusion processes
• Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach
• The closed-form option pricing formulas under the sub-fractional Poisson volatility models
• Identification of market trends with string and D2-brane maps
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• A new \& simple model of currency crisis: bifurcations and the emergence of a bad equilibrium
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• Business fluctuations in a behavioral switching model: gridlock effects and credit crunch phenomena in financial networks
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• Underreaction to fundamental information and asymmetry in mispricing between bullish and bearish markets. An experimental study
• Kinetic modeling of alcohol consumption
• Complex system analysis of market return percolation model on Sierpinski carpet lattice fractal
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• Wealth distribution and collective knowledge: a Boltzmann approach
• Econometric analysis of microscopic simulation models
• STABILITY ANALYSIS WITH APPLICATIONS OF A TWO-DIMENSIONAL DYNAMICAL SYSTEM ARISING FROM A STOCHASTIC MODEL FOR AN ASSET MARKET
• Estimation of an agent-based model of investor sentiment formation in financial markets
• Some pricing tools for the variance gamma model
• Social climbing and Amoroso distribution
• Trader Behavior and its Effect on Asset Price Dynamics
• Volatility clustering in financial markets: empirical facts and agent-based models
• Explaining the statistical features of the Spanish stock market from the bottom-up
• WHAT CAUSES PERSISTENCE OF STOCK RETURN VOLATILITY? ONE POSSIBLE EXPLANATION WITH AN ARTIFICIAL STOCK MARKET
• HERD BEHAVIOR AND NONFUNDAMENTAL ASSET PRICE FLUCTUATIONS IN FINANCIAL MARKETS
• QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS
• MONTE CARLO SIMULATION OF VOLATILITY CLUSTERING IN MARKET MODEL WITH HERDING
• MARKET STATISTICS OF A PSYCHOLOGY-BASED HETEROGENEOUS AGENT MODEL
• Herding behaviour and volatility clustering in financial markets
• Technical trading and the volatility of exchange rates
• Fundamentalists, chartists and asset pricing anomalies
• Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
• Market heterogeneities and the causal structure of volatility
• Market-maker, inventory control and foreign exchange dynamics
• Fundamentalists clashing over the book: a study of order-driven stock markets
• Reaction to Extreme Events in a Minimal Agent Based Model
• The bounds of heavy-tailed return distributions in evolving complex networks
• MARKET DEPTH AND PRICE DYNAMICS: A NOTE
• scientific article; zbMATH DE number 759414 (Why is no real title available?)
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• Nonstationary linear processes with infinite variance GARCH errors
• Coexistence of equilibria in a New Keynesian model with heterogeneous beliefs
• Financial power laws: empirical evidence, models, and mechanisms
• Loss aversion in an agent-based asset pricing model
• Investor sentiment and trading behavior
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• GARCH in spinor field
• TECHNICAL ANALYSIS BASED ON PRICE-VOLUME SIGNALS AND THE POWER OF TRADING BREAKS
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• A RANDOM CLUSTER PROCESS APPROACH TO COLLECTIVE MARKET DYNAMICS WITH LOCAL INTERACTIONS
• INDIVIDUAL EXPECTATIONS AND AGGREGATE BEHAVIOR IN LEARNING-TO-FORECAST EXPERIMENTS
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• Animal spirits and monetary policy
• Complex dynamics associated with the appearance/disappearance of invariant closed curves
• A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY
• THE WORKING OF CIRCUIT BREAKERS WITHIN PERCOLATION MODELS FOR FINANCIAL MARKETS
• Random walks, liquidity molasses and critical response in financial markets
• Evolutionary dynamics in markets with many trader types

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