The fractional volatility model: An agent-based interpretation

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 15, 2008, Pages 3987-3994

  Vilela Mendes, R ^a  

^a UNIVERSITY OF LISBON   (Portugal)

Author keywords

Agent based models; Fractional volatility

Indexed keywords

DATA REDUCTION; FINANCE; PARAMETERIZATION;

AGENT-BASED MODELS; FINANCIAL INSTITUTIONS; FRACTIONAL VOLATILITY;

MATHEMATICAL MODELS;

EID: 42649132064     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2008.01.052     Document Type: Article

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