| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481788 | Physica A: Statistical Mechanics and its Applications | 2012 | 9 Pages |
Abstract
⺠We investigate the origin of volatility in financial markets. ⺠We develop a model of stock price evolution based on a micro-level description of the market. ⺠Volatility is composed from traders' regret-risk aversions and from traders' uncertainty in expected returns. ⺠Volatility clustering is primarily caused by traders' uncertainty in expected returns.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Zvonko Kostanjcar, Branko Jeren, Zeljan Juretic,