Title: Statistical Verification of the Multiagent Model of Volatility Clustering on Financial Markets
Abstract: Volatility clustering and leptocurtic, heavy tailed distribution of financial asset returns have been puzzling economists for decades. Ghoulmie, Cont, and Nadal (2005) proposed an agent-based model attempting to reproduce these stylized facts by means of the threshold switching behavior of investors. We investigate properties of the model following principles of the design of simulation experiments. We find the results to be only partially consistent with properties of empirical time series. This suggests the model to be an insightful but incomplete description of the phenomena under study.
Publication Year: 2017
Publication Date: 2017-01-01
Language: en
Type: book-chapter
Indexed In: ['crossref']
Access and Citation
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot