Volatility clustering in agent based market models

Physica A: Statistical Mechanics and its Applications

Volumn 324, Issue 1-2, 2003, Pages 6-16

  Giardina, Irene ^a   Bouchaud, Jean Philippe ^b  

^a UNIVERSITÀ DI ROMA LA SAPIENZA   (Italy)

^b CEA SACLAY   (France)

Author keywords

Agent based models; Minority game; Volatility clustering

Indexed keywords

APPROXIMATION THEORY; CORRELATION METHODS; FINANCE; MATHEMATICAL MODELS;

VOLATILITY CLUSTERING;

GAME THEORY;

EID: 0038577127     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(02)01901-5     Document Type: Conference Paper

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