Essays about: "PASCAL EBOT ARREY-MBI"

Found 1 essay containing the words PASCAL EBOT ARREY-MBI.

  1. 1. VOLATILITY CLUSTERING USING A HETEROGENEOUS AGENT-BASED MODEL

    University essay from Linnéuniversitetet/Institutionen för datavetenskap, fysik och matematik, DFM

    Author : PASCAL EBOT ARREY-MBI; [2011]
    Keywords : Volatility Clustering; Fundamentalists; Chartists; Switching.;

    Abstract : Volatility clustering is a stylized fact common in nance. Large changes in prices tend to cluster whereas small changes behave likewise. The higher the volatility of a market, the more risky it is said to be and vice versa . Below, we study volatility clustering using an agent-based model. READ MORE