VOLATILITY CLUSTERING IN FINANCIAL MARKETS BASED ON THE AGENT BASED MODEL

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SHIRAZIAN ZAHRA

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2018 | Volume:9 | Issue:34 Page(s): 193-213

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Title

VOLATILITY CLUSTERING IN FINANCIAL MARKETS BASED ON THE AGENT BASED MODEL

Author(s)

SHIRAZIAN ZAHRA | Issue Writer Certificate

Keywords

CLUSTERING OF FLUCTUATIONSQ1

BASELINE SIMULATIONQ1

SWITCHINGQ1

INVESTOR INERTIAQ1

Abstract

The purpose of this study is to investigate the CLUSTERING OF FLUCTUATIONS in financial markets, including the stock market, with the underlying model of simulation. Time series of financial asset returns show the clustering of volatility, which shows that large changes in prices tend to form clusters together And these clusters will last for a long time. Time series of financial asset returns often exhibit the volatility clustering property: large changes in prices tend to cluster together, resulting in persistence of the amplitudes of price changes. After recalling various methods for quantifying and modeling this phenomenon, we discuss several economic mechanisms which have been proposed to explain the origin of this volatility clustering in terms of behavior of market participants and the news arrival process. A common feature of these models seems to be a SWITCHING between low and high activity regimes with heavy-tailed durations of regimes. Finally, we discuss a simple agent-based model which links such variations in market activity to threshold behavior of market participants and suggests a link between volatility clustering and INVESTOR INERTIA.

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APA: Copy

SHIRAZIAN, ZAHRA. (2018). VOLATILITY CLUSTERING IN FINANCIAL MARKETS BASED ON THE AGENT BASED MODEL. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 9(34 ), 193-213. SID. https://sid.ir/paper/197584/en

Vancouver: Copy

SHIRAZIAN ZAHRA. VOLATILITY CLUSTERING IN FINANCIAL MARKETS BASED ON THE AGENT BASED MODEL. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2018;9(34 ):193-213. Available from: https://sid.ir/paper/197584/en

IEEE: Copy

ZAHRA SHIRAZIAN, “VOLATILITY CLUSTERING IN FINANCIAL MARKETS BASED ON THE AGENT BASED MODEL,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 9, no. 34 , pp. 193–213, 2018, [Online]. Available: https://sid.ir/paper/197584/en

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