Article1999

MONTE CARLO SIMULATION OF VOLATILITY CLUSTERING IN MARKET MODEL WITH HERDING

Dietrich Stauffer · P.M.C. de Oliveira · Américo Tristão Bernardes

65 citations0/0 files storedInternational Journal of Theoretical and Applied Finance

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Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Stochastic processes and financial applications

Abstract

Through slow changes in the position of the traders, we introduce correlations between the volatility (root mean square change) of the prices at different times. We find this volatility correlation to decay slowly with time, as also observed in reality, and quite independent of the dimensionality of the lattice. We also make the trading activity of a cluster of traders proportional to the cluster size.

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1900Théorie de la spéculation 1994At Home in the Universe 1998Stretched exponential distributions in nature and economy: “fat tails” with characteristic scales 1998Indication of a Universal Persistence Law Governing Atmospheric Variability

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2001PERCOLATION MODELS OF FINANCIAL MARKET DYNAMICS

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