Interplay between endogenous and exogenous fluctuations in financial markets

Vygintas Gontis

Papers from arXiv.org

Abstract: We address microscopic, agent based, and macroscopic, stochastic, modeling of the financial markets combining it with the exogenous noise. The interplay between the endogenous dynamics of agents and the exogenous noise is the primary mechanism responsible for the observed long-range dependence and statistical properties of high volatility return intervals. By exogenous noise we mean information flow or/and order flow fluctuations. Numerical results based on the proposed model reveal that the exogenous fluctuations have to be considered as indispensable part of comprehensive modeling of the financial markets.

Date: 2016-11
New Economics Papers: this item is included in nep-mst
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Citations: View citations in EconPapers (5)

Published in Acta Physica Polonica A 129 (5), 2016, psl. 1023-1031

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1611.06407

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