The fractional volatility model: An agent-based interpretation

Authored by R. Vilela Mendes

Date Published: 2008-06-15

DOI: 10.1016/j.physa.2008.01.052

Sponsors: No sponsors listed

Platforms: No platforms listed

Model Documentation: Other Narrative Mathematical description

Model Code URLs: Model code not found

Abstract

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. (c) 2008 Elsevier B.V. All rights reserved.

Tags

Agent-based models fractional volatility