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We introduce a new origin of volatility clustering in economic time series generated by systems of interacting adaptive agents. Some agents are contrarians-i.e. They act at variance with the natural action suggested by a predictor. At each time step the signal value is generated solely by the cumulative actions of the agents on the current history of the time series.
We introduce a new origin of volatility clustering in economic time series generated by systems of interacting adaptive agents. Some agents are contrarians-i.e. They act at variance with the natural action suggested by a predictor. At each time step the signal value is generated solely by the cumulative actions of the agents on the current history of the time series.
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We introduce a new origin of volatility clustering in economic time series generated by systems of interacting adaptive agents. Some agents are contrarians-i.e. They act at variance with the natural action suggested by a predictor. At each time step the signal value is generated solely by the cumulative actions of the agents on the current history of the time series.
Copyright:
Attribution Non-Commercial (BY-NC)
Formati disponibili
Scarica in formato PDF, TXT o leggi online su Scribd