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Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models · Study

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ChapterVolatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models

Rama Cont A2006

Chapter2006

Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models

266 citations·0/0 files stored·Springer eBooks

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Complex Systems and Time Series Analysis Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1968Fractional Brownian Motions, Fractional Noises and Applications 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1992ARCH modeling in finance 2001Empirical properties of asset returns: stylized facts and statistical issues 1993A long memory property of stock market returns and a new model 1996Statistics for Long-Memory Processes.2018The Economy as an Evolving Complex System II

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2011Econophysics review: II. Agent-based models 2012Agent-based economic models and econometrics 2013Do emerging markets become more efficient as they develop? Long memory persistence in equity indices 2012Bankruptcy Cascades in Interbank Markets 2021Forecasting Foreign Exchange Volatility Using Deep Learning Autoencoder‐LSTM Techniques 2022Renewable energy stocks forecast using Twitter investor sentiment and deep learning

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Year2006

Typechapter

Published2006-09-21

VenueSpringer eBooks

Languageen

Citations266

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1007/978-3-540-34625-8_10

openalex_workW1517994826

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2014

Markets connectivity and financial contagion

2014The fine-structure of volatility feedback I: Multi-scale self-reflexivity