MONTE CARLO SIMULATION OF VOLATILITY CLUSTERING IN MARKET MODEL WITH HERDING

Through slow changes in the position of the traders, we introduce correlations between the volatility (root mean square change) of the prices at different times. We find this volatility correlation to decay slowly with time, as also observed in reality, and quite independent of the dimensionality of...

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Bibliographic Details
Published in:International journal of theoretical and applied finance 1999-01, Vol.2 (1), p.83-94
Main Authors: STAUFFER, DIETRICH, DE OLIVEIRA, PAULO M. C., BERNARDES, AMERICO T.
Format: Article
Language:English
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Summary:Through slow changes in the position of the traders, we introduce correlations between the volatility (root mean square change) of the prices at different times. We find this volatility correlation to decay slowly with time, as also observed in reality, and quite independent of the dimensionality of the lattice. We also make the trading activity of a cluster of traders proportional to the cluster size.
ISSN:0219-0249
1793-6322
DOI:10.1142/S0219024999000066