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Heterogeneity, nonlinearity and endogenous market volatility

✍ Scribed by Hongquan Li; Shouyang Wang; Wei Shang

Book ID
107347331
Publisher
Academy of Mathematics and Systems Science, Chinese Academy of Sciences
Year
2011
Tongue
English
Weight
480 KB
Volume
24
Category
Article
ISSN
1009-6124

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## Abstract Recent research has suggested that intra‐day volatility may possess a component structure, resulting either from the arrival of heterogeneous information or the actions of heterogeneous market agents. This paper reports direct evidence for the existence of such components in S&P500 inde