ListarGrau en Economia por tema "volatility clustering"
Mostrando ítems 1-2 de 2
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The effect of herding in financial markets
Universitat Jaume I (2016-11-25)In this research we present a stylized financial agent-based model with heterogeneous noise traders that imitate each other on a dynamic network structure. Following Tedeschi et al. (2009, 2012), we show how an expectation ... -
The inconsistency of market efficient hypothesis in financial systems: the appearance of volatility clustering
Universitat Jaume I (2017)The aim of this work is to present a set of stylized facts emerging in financial markets. It is important to remember that stylized facts are common properties across a wide range of time periods and markets. If one ...