VOLATILITY CLUSTERING USING A HETEROGENEOUS AGENT-BASED MODEL
Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
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. This model looks at the reaction of agents as a result of the variation of asset prices. This is due to the irregular switching of agents between fundamentalist and chartist behaviors generating a time varying volatility. Switching depends on the performances of the various strategies. The expectations of the excess returns of the agents (fundamentalists and chartists) are heterogenous.
Place, publisher, year, edition, pages
2011. , 27 p.
Volatility Clustering, Fundamentalists, Chartists, Switching.
Engineering and Technology
IdentifiersURN: urn:nbn:se:lnu:diva-24587OAI: oai:DiVA.org:lnu-24587DiVA: diva2:608216
UppsokPhysics, Chemistry, Mathematics