Rational Interacting Agents and Volatility Clustering: A New Approach

Hammad Siddiqi ()

MPRA Paper from University Library of Munich, Germany

Abstract: Here, we show that agents who are ex ante rational, if allowed to interact locally, may generate clustering of volatility. Hence, there is no need to reject the notion of rationality in agent based models.

Keywords: Volatility Clustering; Rationality; Local Interactions (search for similar items in EconPapers)
JEL-codes: G1 G12 (search for similar items in EconPapers)
Date: 2007-04-27
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:2984

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