The fractional volatility model: An agent-based interpretation

Rui Mendes

Papers from arXiv.org

Abstract: Based on 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 discussed and, 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.

Date: 2007-06, Revised 2007-08
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Citations: View citations in EconPapers (3)

Published in Physica A: Statistical Mechanics and its Applications, 387 (2008) 3987-3994

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Journal Article: The fractional volatility model: An agent-based interpretation (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0706.3827

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