Noise traders or Fundamentalists? A Wavelet approach

François Benhmad ()
Additional contact information
François Benhmad: LAMETA

Economics Bulletin, 2011, vol. 31, issue 1, 782-791

Abstract: According to market heterogeneity hypothesis, financial markets are characterized by the presence of heterogeneity of participants with different sensibilities to different time scales. Although Wavelet based Value at Risk is able to represent dealing frequencies of market participants, it doesn't explicitly take into account the presence of Noise traders and Fundamentalists. In this paper, we introduce a Wavelet Value at Risk model which make a clear distinction between the two categories of traders. Thus, WVaR of Fundamentalists shows good performance especially in a high volatility regime as the one which has occurred in 2008

Keywords: Wavelet Value at Risk; Heterogeneity; Noise traders; Fundamentalists (search for similar items in EconPapers)
JEL-codes: C4 C5 (search for similar items in EconPapers)
Date: 2011-03-14
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I1-P75.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-10-00362

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().