کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099901 | 1377052 | 2007 | 31 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Fat tails and volatility clustering in experimental asset markets
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Fat tails and volatility clustering in experimental asset markets Fat tails and volatility clustering in experimental asset markets](/preview/png/5099901.png)
چکیده انگلیسی
This paper presents results from experimental asset markets with asymmetric fundamental information. We observe leptokurtic returns and a slowly decaying autocorrelation function of absolute returns. In contrast to results from heterogeneous agent models (HAMs), we find that noise has no significant influence on the emergence of fat tails. Instead, we observe a significantly positive relationship between the degree of heterogeneity of fundamental information and absolute returns, which suggests that heterogeneous fundamental information is the source of fat tails. With respect to volatility clustering, we discover an intra-periodical pattern where absolute returns decrease after the arrival of new asymmetric fundamental information.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 31, Issue 6, June 2007, Pages 1844-1874
Journal: Journal of Economic Dynamics and Control - Volume 31, Issue 6, June 2007, Pages 1844-1874
نویسندگان
Michael Kirchler, Jürgen Huber,