The fractional volatility model: An agent-based interpretation

Rui Mendes

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 15, 3987-3994

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.

Keywords: Fractional volatility; Agent-based models (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (7)

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Working Paper: The fractional volatility model: An agent-based interpretation (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:15:p:3987-3994

DOI: 10.1016/j.physa.2008.01.052

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