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Volatility clustering
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fat tails
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herd behaviour
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market microstucture
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trading volume
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volatility clustering
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Iori, Giulia
Alfarano, Simone
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Lux, Thomas
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Lin, Shih-kuei
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Morone, Andrea
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A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions
Iori, Giulia
-
EconWPA
-
2000
to price movements, creates a feedback mechanism on future trading and generates
volatility
clustering
. The model also …
Persistent link: https://www.econbiz.de/10005413173
Saved in:
2
A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions.
Iori, Giulia
-
EconWPA
-
1999
introduced which, by responding to price movements, creates a feedback mechanism on future trading and generates
volatility
…
clustering
. …
Persistent link: https://www.econbiz.de/10005413145
Saved in:
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