A minimal noise trader model with realistic time series properties
Year of publication: |
2003
|
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Authors: | Alfarano, Simone ; Lux, Thomas |
Institutions: | Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel |
Subject: | Herd Behavior | Speculative Dynamics | Fat Tails | Volatility Clustering |
Extent: | application/pdf |
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Series: | Economics Working Papers. - ISSN 2193-2476. |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 2003,15 |
Classification: | G12 - Asset Pricing ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis |
Source: |
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A minimal noise trader model with realistic time series properties
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A minimal noise trader model with realistic time series properties
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