Volatility

Blake LeBaron

No 108, Computing in Economics and Finance 2001 from Society for Computational Economics

Abstract: This paper uses an agent based financial market calibrated to aggregate data. It shows how these markets are able to magnify the volatility of fundamentals, and to create time series with persistent volatility. The mechanism for this persistence is explored using several of the time series generated in the market simulation.

Keywords: agent (search for similar items in EconPapers)
JEL-codes: D83 G12 G14 (search for similar items in EconPapers)
Date: 2001-04-01
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Citations: View citations in EconPapers (60)

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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf1:108

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