๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

The fractional volatility model: An agent-based interpretation

โœ Scribed by R. Vilela Mendes

Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
505 KB
Volume
387
Category
Article
ISSN
0378-4371

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โœฆ Synopsis

Based on the 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 reviewed and extended to account for leverage effects. 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.

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