The Fractional Volatility Model: An Agent-Based Interpretation
Physica A 387 (2008) 3987–3994
9 Pages Posted: 27 Jan 2015
Date Written: January 25, 2015
Abstract
Based on the criteria of mathematical simplicity and consistency with empirical market data, a model with volatility driven by fractional noise has been constructed which provides a fairly accurate mathematical parametrization of the data. Here, some features of the model are reviewed and extended to account for leverage effects. Using agent-based models, one tries to find which agent strategies and (or) properties of the financial institutions might be responsible for the features of the fractional volatility model.
Suggested Citation: Suggested Citation
Mendes, Rui Vilela, The Fractional Volatility Model: An Agent-Based Interpretation (January 25, 2015). Physica A 387 (2008) 3987–3994, Available at SSRN: https://ssrn.com/abstract=2555196
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